RATIONAL APPROXIMATION OF THE ROUGH HESTON SOLUTION

DOI10.1142/S0219024919500109zbMath1458.91211OpenAlexW3124440906WikidataQ128435576 ScholiaQ128435576MaRDI QIDQ5377001

Radoš Radoičić, Jim Gatheral

Publication date: 21 May 2019

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024919500109

zbMATH Keywords

rational approximationvolatility smilePadé approximantrough Heston modelleverage swap

Mathematics Subject Classification ID

Stochastic models in economics (91B70) Fractional derivatives and integrals (26A33) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (14)

Empirical analysis of rough and classical stochastic volatility models to the SPX and VIX markets ⋮ Forests, cumulants, martingales ⋮ The SINC way: a fast and accurate approach to Fourier pricing ⋮ Stationary Heston model: calibration and pricing of exotics using product recursive quantization ⋮ The characteristic function of Gaussian stochastic volatility models: an analytic expression ⋮ Deep Curve-Dependent PDEs for Affine Rough Volatility ⋮ High-order methods for the option pricing under multivariate rough volatility models ⋮ Impact of rough stochastic volatility models on long-term life insurance pricing ⋮ Lifting the Heston model ⋮ The Zumbach effect under rough Heston ⋮ Solving Parametric Fractional Differential Equations Arising from the Rough Heston Model Using Quasi-Linearization and Spectral Collocation ⋮ Exponentiation of conditional expectations under stochastic volatility ⋮ Fast Hybrid Schemes for Fractional Riccati Equations (Rough Is Not So Tough) ⋮ Pricing of spread and exchange options in a rough jump-diffusion market

Uses Software

• Mathematica

Cites Work

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• Rational Solutions for the Time-Fractional Diffusion Equation
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• Fast Hybrid Schemes for Fractional Riccati Equations (Rough Is Not So Tough)
• Exponentiation of conditional expectations under stochastic volatility
• Multifactor Approximation of Rough Volatility Models
• Padé approximants of the Mittag-Leffler functions
• The characteristic function of rough Heston models

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