Asymptotic Behavior of the Fractional Heston Model

DOI10.1137/17M1142892zbMath1416.91375arXiv1411.7653OpenAlexW3121590639WikidataQ129477405 ScholiaQ129477405MaRDI QIDQ4553801

Fangwei Shi, Hamza Guennoun, Patrick Roome, Antoine Jacquier

Publication date: 31 October 2018

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1411.7653

zbMATH Keywords

asymptoticsfractional Brownian motionstochastic volatilityimplied volatilityHeston model

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Stochastic models in economics (91B70) Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (34)

On the Discrete-Time Simulation of the Rough Heston Model ⋮ Large and moderate deviations for stochastic Volterra systems ⋮ Black-Scholes in a CEV random environment ⋮ Short-time at-the-money skew and rough fractional volatility ⋮ A fast algorithm for simulation of rough volatility models ⋮ Stationary Heston model: calibration and pricing of exotics using product recursive quantization ⋮ American Options in the Volterra Heston Model ⋮ Option pricing in the moderate deviations regime ⋮ Asymptotic behavior and calibration of short-time option prices under the normal tempered stable model ⋮ Implied higher order moments in the Heston model: a case study of S\&P500 index ⋮ Small-time moderate deviations for the randomised Heston model ⋮ Deep Curve-Dependent PDEs for Affine Rough Volatility ⋮ Portfolio Optimization in Fractional and Rough Heston Models ⋮ Volatility Options in Rough Volatility Models ⋮ Rough Heston Models with Variable Vol-of-Vol and Option Pricing ⋮ Correction to Black--Scholes Formula Due to Fractional Stochastic Volatility ⋮ The microstructural foundations of leverage effect and rough volatility ⋮ A comparison principle between rough and non-rough Heston models—with applications to the volatility surface ⋮ Solving Parametric Fractional Differential Equations Arising from the Rough Heston Model Using Quasi-Linearization and Spectral Collocation ⋮ Large deviations for fractional volatility models with non-Gaussian volatility driver ⋮ The Randomized Heston Model ⋮ The characteristic function of rough Heston models ⋮ Option pricing under fast‐varying long‐memory stochastic volatility ⋮ Affine Volterra processes ⋮ Moderate deviation principle for multiscale systems driven by fractional Brownian motion ⋮ From Rough Path Estimates to Multilevel Monte Carlo ⋮ Mean-variance portfolio selection under Volterra Heston model ⋮ Short-Term At-the-Money Asymptotics under Stochastic Volatility Models ⋮ Short-time near-the-money skew in rough fractional volatility models ⋮ Fast Hybrid Schemes for Fractional Riccati Equations (Rough Is Not So Tough) ⋮ Invariant measures for multidimensional fractional stochastic volatility models ⋮ Volatility has to be rough ⋮ Fractional stochastic volatility correction to CEV implied volatility ⋮ Time-Inconsistency with Rough Volatility

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