Rough Heston Models with Variable Vol-of-Vol and Option Pricing
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Publication:6191801
DOI10.4208/aam.oa-2023-0009OpenAlexW4381165880MaRDI QIDQ6191801
Hui Liang, Jingtang Ma, Zheng-Guang Shi
Publication date: 11 March 2024
Published in: Annals of Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.4208/aam.oa-2023-0009
option pricingfractional differential equationsHawkes processrough Heston modelFourier-cosine methods
Fractional processes, including fractional Brownian motion (60G22) Numerical methods for integral equations (65R20) Derivative securities (option pricing, hedging, etc.) (91G20) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)
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