Fractional Riccati Equation and Its Applications to Rough Heston Model Using Numerical Methods
Year: 2020
Type: article
Abstract: Rough volatility models are popularized by \cite{gatheral2018volatility}, where they have shown that the empirical volatility in the financial market is extremely consistent with rough volatility. Fractional Riccati equation as a part of computation for the characteristic function of rough Heston model is not known in explicit form as of now and therefore, we must rely on numerical methods to obtain a solution. In this paper, we give a short introduction to option pricing theory and an overview of the current advancements on the rough Heston model.
Source: Symmetry
DOI: 10.3390/sym12060959
Authors: Siow W. Jeng, Adem Kilicman
Institution: Universiti Putra Malaysia
Language: English
Subfield: Finance
Domain: Social Sciences
Open Access status: gold
Estimated APC paid: $1,479
OpenAlex ID: W3033967640