RATIONAL APPROXIMATION OF THE ROUGH HESTON SOLUTION (Q5377001)

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scientific article; zbMATH DE number 7057294
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RATIONAL APPROXIMATION OF THE ROUGH HESTON SOLUTION
scientific article; zbMATH DE number 7057294

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    RATIONAL APPROXIMATION OF THE ROUGH HESTON SOLUTION (English)
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    21 May 2019
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    rough Heston model
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    Padé approximant
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    rational approximation
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    volatility smile
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    leverage swap
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