High-order methods for the option pricing under multivariate rough volatility models (Q6161539)
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scientific article; zbMATH DE number 7692023
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | High-order methods for the option pricing under multivariate rough volatility models |
scientific article; zbMATH DE number 7692023 |
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High-order methods for the option pricing under multivariate rough volatility models (English)
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5 June 2023
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fractional Riccati equations
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high-order methods
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rough Heston model
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option pricing
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