Rough Heston Models with Variable Vol-of-Vol and Option Pricing (Q6191801)
From MaRDI portal
scientific article; zbMATH DE number 7814783
Language | Label | Description | Also known as |
---|---|---|---|
English | Rough Heston Models with Variable Vol-of-Vol and Option Pricing |
scientific article; zbMATH DE number 7814783 |
Statements
Rough Heston Models with Variable Vol-of-Vol and Option Pricing (English)
0 references
11 March 2024
0 references
rough Heston model
0 references
option pricing
0 references
Hawkes process
0 references
fractional differential equations
0 references
Fourier-cosine methods
0 references
0 references
0 references
0 references
0 references
0 references