Fast Hybrid Schemes for Fractional Riccati Equations (Rough Is Not So Tough) (Q4991674): Difference between revisions

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Latest revision as of 21:08, 25 July 2024

scientific article; zbMATH DE number 7354639
Language Label Description Also known as
English
Fast Hybrid Schemes for Fractional Riccati Equations (Rough Is Not So Tough)
scientific article; zbMATH DE number 7354639

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    Fast Hybrid Schemes for Fractional Riccati Equations (Rough Is Not So Tough) (English)
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    3 June 2021
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    fractional Brownian motion
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    fractional Riccati equation
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    rough Heston model
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    power series representation
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