Fast Hybrid Schemes for Fractional Riccati Equations (Rough Is Not So Tough)
Work
Year: 2020
Type: article
Abstract: We solve a family of fractional Riccati equations with constant (possibly complex) coefficients. These equations arise, for example, in fractional Heston stochastic volatility models, which have recei... more
Institutions University of Padua, Pôle Universitaire Léonard de Vinci, Laboratoire de Probabilités et Modèles Aléatoires, Sorbonne Université
Cites: 18
Cited by: 26
Related to: 10
FWCI: 3.918
Citation percentile (by year/subfield): 91.52
Subfield: Finance
Domain: Social Sciences
Sustainable Development Goal Decent work and economic growth
Open Access status: green