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

IF 1.5 4区 经济学 Q3 BUSINESS, FINANCE
Christian Bayer, Simon Breneis
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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 ...
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...
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来源期刊
Quantitative Finance
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.
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