On the Discrete-Time Simulation of the Rough Heston Model
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Publication:5886364
DOI10.1137/21M1443807MaRDI QIDQ5886364
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Publication date: 31 March 2023
Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2107.07835
Numerical methods (including Monte Carlo methods) (91G60) Numerical methods for integral equations (65R20) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Volterra integral equations (45D05)
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Cubature Method for Stochastic Volterra Integral Equations, Approximation of Stochastic Volterra Equations with kernels of completely monotone type
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