A generalization of the rational rough Heston approximation
| Autor: | Gatheral, Jim, Radoičić, Radoš |
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| Rok vydání: | 2023 |
| Předmět: | |
| Zdroj: | Quantitative Finance, 2024 |
| Druh dokumentu: | Working Paper |
| Popis: | Previously, in [GR19], we derived a rational approximation of the solution of the rough Heston fractional ODE in the special case \lambda = 0, which corresponds to a pure power-law kernel. In this paper we extend this solution to the general case of the Mittag-Leffler kernel with \lambda \geq 0. We provide numerical evidence of the convergence of the solution. Comment: 10 pages, 6 figures |
| Databáze: | arXiv |
| Externí odkaz: |
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