American options in the Volterra Heston model (Q5080128)
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scientific article; zbMATH DE number 7533965
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | American options in the Volterra Heston model |
scientific article; zbMATH DE number 7533965 |
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American Options in the Volterra Heston Model (English)
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31 May 2022
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American options
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Volterra Heston model
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rough volatility
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Riccati-Volterra equations
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forward variance
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Fourier-Laplace transform
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0.799617350101471
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0.7871637344360352
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0.7797292470932007
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0.7754709124565125
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