Solving Parametric Fractional Differential Equations Arising from the Rough Heston Model Using Quasi-Linearization and Spectral Collocation (Q5144185)
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scientific article; zbMATH DE number 7296665
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Solving Parametric Fractional Differential Equations Arising from the Rough Heston Model Using Quasi-Linearization and Spectral Collocation |
scientific article; zbMATH DE number 7296665 |
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Solving Parametric Fractional Differential Equations Arising from the Rough Heston Model Using Quasi-Linearization and Spectral Collocation (English)
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15 January 2021
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rough Heston model
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fractional nonlinear Riccati differential equation
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spectral collocation
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Newton-Kantorovich quasi-linearization
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