RATIONAL APPROXIMATION OF THE ROUGH HESTON SOLUTION (Q5377001)
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scientific article; zbMATH DE number 7057294
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | 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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