Double weakly singular kernels in stochastic Volterra integral equations with application to the rough Heston model (Q6570975)
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scientific article; zbMATH DE number 7879830
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| English | Double weakly singular kernels in stochastic Volterra integral equations with application to the rough Heston model |
scientific article; zbMATH DE number 7879830 |
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Double weakly singular kernels in stochastic Volterra integral equations with application to the rough Heston model (English)
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11 July 2024
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weakly singular kernels
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stochastic \(\theta\)-scheme
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Heston volatility
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stochastic Volterra integral equations
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strong convergence
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European call option
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0.7534205317497253
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0.7487996816635132
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0.7380053997039795
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