Series Expansion and Fourth-Order Global Padé Approximation for a Rough Heston Solution
The rough Heston model has recently been shown to be extremely consistent with the observed empirical data in the financial market. However, the shortcoming of the model is that the conventional numerical method to compute option prices under it requires great computational effort due to the presenc...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2020-11-01
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| Series: | Mathematics |
| Subjects: | |
| Online Access: | https://www.mdpi.com/2227-7390/8/11/1968 |