High-order methods for the option pricing under multivariate rough volatility models

DOI10.1016/J.CAMWA.2022.05.039MaRDI QIDQ6161539zbMATH OpenOpenAlexFDO

Authors Zheng-Guang Shi, Pin Lyu, Jingtang Ma

Publication date 5 June 2023

Published in Computers & Mathematics with Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.camwa.2022.05.039

zbMATH Keywords

fractional Riccati equationshigh-order methodsoption pricingrough Heston model

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Stochastic models in economics (91B70) Derivative securities (option pricing, hedging, etc.) (91G20)

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Cites work

• A closed-form pricing formula for European options under a new stochastic volatility model with a stochastic long-term mean
• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• A high-order method with a temporal nonuniform mesh for a time-fractional Benjamin-Bona-Mahony equation
• A jump-diffusion model for option pricing
• Affine processes and applications in finance
• Affine Volterra processes
• An analysis of the L1 scheme for the subdiffusion equation with nonsmooth data
• Convergence rates of moving mesh Rannacher methods for PDEs of Asian options pricing
• Detailed error analysis for a fractional Adams method
• Detailed error analysis for a fractional Adams method with graded meshes
• Error analysis of a finite difference method on graded meshes for a time-fractional diffusion equation
• Error analysis of the L1 method on graded and uniform meshes for a fractional-derivative problem in two and three dimensions
• Fast hybrid schemes for fractional Riccati equations (rough is not so tough)
• From microscopic price dynamics to multidimensional rough volatility models
• scientific article; zbMATH DE number 1414604 (Why is no real title available?)
• Hybrid scheme for Brownian semistationary processes
• Lifting the Heston model
• Multifactor approximation of rough volatility models
• Option pricing when underlying stock returns are discontinuous
• Perfect hedging in rough Heston models
• Pricing foreign exchange options under a hybrid Heston-Cox-Ingersoll-Ross model with regime switching
• Pricing under rough volatility
• Rational approximation of the rough Heston solution
• Rough fractional diffusions as scaling limits of nearly unstable heavy tailed Hawkes processes
• Sharp error estimate of the nonuniform L1 formula for linear reaction-subdiffusion equations
• Solving parametric fractional differential equations arising from the rough Heston model using quasi-linearization and spectral collocation
• The characteristic function of rough Heston models
• Two-dimensional Fourier cosine series expansion method for pricing financial options
• Volatility is rough

Cited in

(6)

• High-order computational methods for option valuation under multifactor models
• High-order ADI scheme for option pricing in stochastic volatility models
• Rough Heston Models with Variable Vol-of-Vol and Option Pricing
• A semi-analytic method for valuing high-dimensional options on the maximum and minimum of multiple assets
• Pricing of geometric Asian options in the Volterra-Heston model
• The multivariate fractional Ornstein-Uhlenbeck process

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