High-order methods for the option pricing under multivariate rough volatility models

DOI10.1016/j.camwa.2022.05.039OpenAlexW4284687199MaRDI QIDQ6161539

Zheng-Guang Shi, Jingtang Ma, Pin Lyu

Publication date: 5 June 2023

Published in: Computers \& Mathematics with Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.camwa.2022.05.039

zbMATH Keywords

option pricinghigh-order methodsfractional Riccati equationsrough Heston model

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Stochastic models in economics (91B70) Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

• Unnamed Item
• A Jump-Diffusion Model for Option Pricing
• Rough fractional diffusions as scaling limits of nearly unstable heavy tailed Hawkes processes
• A closed-form pricing formula for European options under a new stochastic volatility model with a stochastic long-term mean
• Affine processes and applications in finance
• Perfect hedging in rough Heston models
• Detailed error analysis for a fractional Adams method with graded meshes
• Detailed error analysis for a fractional Adams method
• Affine Volterra processes
• A high-order method with a temporal nonuniform mesh for a time-fractional Benjamin-Bona-Mahony equation
• An analysis of the L1 scheme for the subdiffusion equation with nonsmooth data
• Convergence Rates of Moving Mesh Rannacher Methods for PDEs of Asian Options Pricing
• Volatility is rough
• Sharp Error Estimate of the Nonuniform L1 Formula for Linear Reaction-Subdiffusion Equations
• Two-Dimensional Fourier Cosine Series Expansion Method for Pricing Financial Options
• Fast Hybrid Schemes for Fractional Riccati Equations (Rough Is Not So Tough)
• Pricing under rough volatility
• From microscopic price dynamics to multidimensional rough volatility models
• Pricing foreign exchange options under a hybrid Heston-Cox-Ingersoll-Ross model with regime switching
• Lifting the Heston model
• Solving Parametric Fractional Differential Equations Arising from the Rough Heston Model Using Quasi-Linearization and Spectral Collocation
• Multifactor Approximation of Rough Volatility Models
• Error Analysis of a Finite Difference Method on Graded Meshes for a Time-Fractional Diffusion Equation
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• RATIONAL APPROXIMATION OF THE ROUGH HESTON SOLUTION
• Error analysis of the L1 method on graded and uniform meshes for a fractional-derivative problem in two and three dimensions
• Option pricing when underlying stock returns are discontinuous
• The characteristic function of rough Heston models
• Hybrid scheme for Brownian semistationary processes

This page was built for publication: High-order methods for the option pricing under multivariate rough volatility models