On multilevel and control variate Monte Carlo methods for option pricing under the rough Heston model by Siow, Woon Jeng, Kilicman, Adem

“…It captures some important qualities that can be observed in the financial market—highly endogenous, statistical arbitrages prevention, liquidity asymmetry, and metaorders. Unlike stochastic differential equation, the stochastic Volterra equation is extremely computationally expensive to simulate. …”