A generalization of the rational rough Heston approximation
Computational Finance
2024-02-15 v2
Abstract
Previously, in [GR19], we derived a rational approximation of the solution of the rough Heston fractional ODE in the special case \lambda = 0, which corresponds to a pure power-law kernel. In this paper we extend this solution to the general case of the Mittag-Leffler kernel with \lambda \geq 0. We provide numerical evidence of the convergence of the solution.
Cite
@article{arxiv.2310.09181,
title = {A generalization of the rational rough Heston approximation},
author = {Jim Gatheral and Radoš Radoičić},
journal= {arXiv preprint arXiv:2310.09181},
year = {2024}
}
Comments
10 pages, 6 figures