ROUGH-HESTON LOCAL-VOLATILITY MODEL

DOI10.1142/S0219024923500218arXiv2206.09220MaRDI QIDQ6119773

Riccardo Longoni, Unnamed Author, Andrea Pallavicini

Publication date: 20 February 2024

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2206.09220

zbMATH Keywords

small-time asymptoticslocal volatilityrough volatilityMarkovian projectionvolatility skewrough Heston

Mathematics Subject Classification ID

Stochastic models in economics (91B70) Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

• Mimicking an Itō process by a solution of a stochastic differential equation
• Asymptotic analysis for stochastic volatility: martingale expansion
• Mimicking the one-dimensional marginal distributions of processes having an Ito differential
• Solving mean field rough differential equations
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• Markovian structure of the Volterra Heston model
• On the short-time behavior of the implied volatility for jump-diffusion models with stochastic volatility
• Computing the implied volatility in stochastic volatility models
• SMILE MODELING IN COMMODITY MARKETS
• Volatility is rough
• Short-Term At-the-Money Asymptotics under Stochastic Volatility Models
• Pricing under rough volatility
• American Options in the Volterra Heston Model
• Lifting the Heston model
• Multifactor Approximation of Rough Volatility Models
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• The characteristic function of rough Heston models
• A regularity structure for rough volatility
• Small‐time, large‐time, and asymptotics for the Rough Heston model

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