Efficient option pricing in the rough Heston model using weak simulation schemes

IF 16.4 1区化学 Q1 CHEMISTRY, MULTIDISCIPLINARY

Accounts of Chemical Research Pub Date : 2024-09-02 DOI:10.1080/14697688.2024.2391523

Christian Bayer, Simon Breneis

引用次数: 0

Abstract

We provide an efficient and accurate simulation scheme for the rough Heston model in the standard (H>0) as well as the hyper-rough regime (H>−1/2). The scheme is based on low-dimensional Markovian ...

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利用弱模拟方案在粗略的赫斯顿模型中高效地进行期权定价

我们为标准（H>0）和超粗糙系统（H>-1/2）中的粗糙海斯顿模型提供了一种高效、精确的模拟方案。该方案基于低维马尔可夫...

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

Accounts of Chemical Research 化学-化学综合

CiteScore

31.40

自引率

1.10%

发文量

312

审稿时长

2 months

期刊介绍： Accounts of Chemical Research presents short, concise and critical articles offering easy-to-read overviews of basic research and applications in all areas of chemistry and biochemistry. These short reviews focus on research from the author’s own laboratory and are designed to teach the reader about a research project. In addition, Accounts of Chemical Research publishes commentaries that give an informed opinion on a current research problem. Special Issues online are devoted to a single topic of unusual activity and significance. Accounts of Chemical Research replaces the traditional article abstract with an article "Conspectus." These entries synopsize the research affording the reader a closer look at the content and significance of an article. Through this provision of a more detailed description of the article contents, the Conspectus enhances the article's discoverability by search engines and the exposure for the research.