Rational Approximation of the Rough Heston Solution

We present a simple rational approximation to the solution of the rough Heston Riccati equation valid in a region of its domain relevant to option valuation. Pricing under rough Heston using this approximation is both fast and very accurate

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Year of publication:	2019
Authors:	Gatheral, Jim
Other Persons:	Radoicic, Rados (contributor)
Publisher:	[2019]: [S.l.] : SSRN
Subject:	Theorie \| Theory \| Rationalität \| Rationality

Extent:	1 Online-Ressource (18 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	In: International Journal of Theoretical and Applied Finance, Vol. 22, No. 3, 1950010, 2019 Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments January 29, 2019 erstellt
Other identifiers:	10.2139/ssrn.3191578 [DOI]
Classification:	C2 - Econometric Methods: Single Equation Models ; C3 - Econometric Methods: Multiple/Simultaneous Equation Models ; C4 - Econometric and Statistical Methods: Special Topics ; C6 - Mathematical Methods and Programming
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://ebvufind01.dmz1.zbw.eu/10012899105