A SEMI-ANALYTICAL PRICING FORMULA FOR EUROPEAN OPTIONS UNDER THE ROUGH HESTON-CIR MODEL (Q5112597)
From MaRDI portal
scientific article; zbMATH DE number 7206833
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A SEMI-ANALYTICAL PRICING FORMULA FOR EUROPEAN OPTIONS UNDER THE ROUGH HESTON-CIR MODEL |
scientific article; zbMATH DE number 7206833 |
Statements
A SEMI-ANALYTICAL PRICING FORMULA FOR EUROPEAN OPTIONS UNDER THE ROUGH HESTON-CIR MODEL (English)
0 references
2 June 2020
0 references
rough Heston-CIR model
0 references
semi-analytical
0 references
fractional Riccati equation
0 references
European options
0 references
