A generalization of the rational rough Heston approximation

IF 1.5 4区经济学 Q3 BUSINESS, FINANCE

Quantitative Finance Pub Date : 2024-01-22 DOI:10.1080/14697688.2024.2302055

Jim Gatheral, Radoš Radoičić

引用次数: 0

Abstract

Previously, in Gatheral and Radoičić (Rational approximation of the rough Heston solution. Int. J. Theor. Appl. Finance, 2019, 22(3), 1950010), we derived a rational approximation of the solution o...

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有理粗略赫斯顿近似的一般化

此前，在 Gatheral 和 Radoičić (Rational approximation of the rough Heston solution.Int.J. Theor.Appl.Finance，2019，22（3），1950010）中，我们推导出了粗略赫斯顿解的有理近似。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Quantitative Finance 社会科学-数学跨学科应用

CiteScore

3.20

自引率

7.70%

发文量

102

审稿时长

4-8 weeks

期刊介绍： The frontiers of finance are shifting rapidly, driven in part by the increasing use of quantitative methods in the field. Quantitative Finance welcomes original research articles that reflect the dynamism of this area. The journal provides an interdisciplinary forum for presenting both theoretical and empirical approaches and offers rapid publication of original new work with high standards of quality. The readership is broad, embracing researchers and practitioners across a range of specialisms and within a variety of organizations. All articles should aim to be of interest to this broad readership.