ROUGH-HESTON LOCAL-VOLATILITY MODEL
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Publication:6119773
DOI10.1142/s0219024923500218arXiv2206.09220MaRDI QIDQ6119773
Riccardo Longoni, Unnamed Author, Andrea Pallavicini
Publication date: 20 February 2024
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2206.09220
small-time asymptoticslocal volatilityrough volatilityMarkovian projectionvolatility skewrough Heston
Stochastic models in economics (91B70) Derivative securities (option pricing, hedging, etc.) (91G20)
Cites Work
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- A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
- The characteristic function of rough Heston models
- A regularity structure for rough volatility
- Small‐time, large‐time, and asymptotics for the Rough Heston model
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