Search Results - Siow, Woon Jeng

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  1. 1
    Series expansion and fourth-order global pade approximation for rough Heston solution

    Series expansion and fourth-order global pade approximation for rough Heston solution by Siow, Woon Jeng, Kilicman, Adem

    Published 2020
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  2. 2
    Fractional Riccati equation and its applications to rough Heston model using numerical methods

    Fractional Riccati equation and its applications to rough Heston model using numerical methods by Siow, Woon Jeng, Kilicman, Adem

    Published 2020
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  3. 3
    On multilevel and control variate Monte Carlo methods for option pricing under the rough Heston model

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

    Published 2021
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  4. 4
    SPX calibration of option approximations under rough Heston model

    SPX calibration of option approximations under rough Heston model by Siow, Woon Jeng, Kilicman, Adem

    Published 2021
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  5. 5
    Approximation formula for option prices under Rough Heston model and short-time implied volatility behaviour

    Approximation formula for option prices under Rough Heston model and short-time implied volatility behaviour by Siow, Woon Jeng, Kilicman, Adem

    Published 2020
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  6. 6
    Option pricing for rough Heston model using numerical methods

    Option pricing for rough Heston model using numerical methods by Siow, Woon Jeng

    Published 2021
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