Approximation formula for option prices under Rough Heston model and short-time implied volatility behaviour
Rough Heston model possesses some stylized facts that can be used to describe the stock market, i.e., markets are highly endogenous, no statistical arbitrage mechanism, liquidity asymmetry for buy and sell order, and the presence of metaorders. This paper presents an efficient alternative to compute...
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| Main Authors: | , |
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| Format: | Article |
| Language: | en |
| Published: |
Multidisciplinary Digital Publishing Institute
2020
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| Online Access: | http://psasir.upm.edu.my/id/eprint/87921/1/ABSTRACT.pdf http://psasir.upm.edu.my/id/eprint/87921/ https://www.mdpi.com/2073-8994/12/11/1878/htm |
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