Fractional Riccati equation and its applications to rough Heston model using numerical methods
Rough volatility models are recently popularized by the need of a consistent model for the observed empirical volatility in the financial market. In this case, it has been shown that the empirical volatility in the financial market is extremely consistent with the rough volatility. Currently, fracti...
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| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Multidisciplinary Digital Publishing Institute
2020
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| Online Access: | http://psasir.upm.edu.my/id/eprint/89064/1/HES.pdf http://psasir.upm.edu.my/id/eprint/89064/ https://www.mdpi.com/2073-8994/12/6/959 |
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