A fast algorithm for simulation of rough volatility models

DOI10.1080/14697688.2021.1970213zbMath1490.91218MaRDI QIDQ5072905

Haofei Wu, Jingtang Ma

Publication date: 5 May 2022

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2021.1970213

zbMATH Keywords

fractional Brownian motion; regime switching; Monte Carlo methods; fast simulation algorithms; rough Heston models

Mathematics Subject Classification ID

60G22: Fractional processes, including fractional Brownian motion

91G20: Derivative securities (option pricing, hedging, etc.)

Related Items

A fast Euler-Maruyama method for Riemann-Liouville stochastic fractional nonlinear differential equations, Fast Euler-Maruyama method for weakly singular stochastic Volterra integral equations with variable exponent, A fast Euler-Maruyama method for fractional stochastic differential equations

Uses Software

• DLMF
• SimEstFBM

Cites Work

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