On the Discrete-Time Simulation of the Rough Heston Model

DOI10.1137/21M1443807MaRDI QIDQ5886364

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Publication date: 31 March 2023

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2107.07835

zbMATH Keywords

Monte Carlo methodEuler schemestochastic Volterra equationsrough Heston model

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Numerical methods for integral equations (65R20) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Volterra integral equations (45D05)

Related Items (2)

Cubature Method for Stochastic Volterra Integral Equations ⋮ Approximation of Stochastic Volterra Equations with kernels of completely monotone type

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