Small‐time, large‐time, and asymptotics for the Rough Heston model (Q6078436)
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scientific article; zbMATH DE number 7742857
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| English | Small‐time, large‐time, and asymptotics for the Rough Heston model |
scientific article; zbMATH DE number 7742857 |
Statements
Small‐time, large‐time, and asymptotics for the Rough Heston model (English)
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27 September 2023
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asymptotics
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implied volatility
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integral equations
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random fields
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rough Heston model
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rough volatility
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0.8562024831771851
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0.8364909291267395
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0.8363442420959473
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0.8351920247077942
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0.8344506025314331
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