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A generalization of the rational rough Heston approximation
Quantitative Finance ( IF 1.3 ) Pub Date : 2024-02-13 , DOI: 10.1080/14697688.2024.2302055 Jim Gatheral 1 , Radoš Radoičić 1
Quantitative Finance ( IF 1.3 ) Pub Date : 2024-02-13 , DOI: 10.1080/14697688.2024.2302055 Jim Gatheral 1 , Radoš Radoičić 1
Affiliation
Previously, in Gatheral and Radoičić (Rational approximation of the rough Heston solution. Int. J. Theor. Appl. Finance, 2019, 22(3), 1950010), we derived a rational approximation of the solution o...
中文翻译:
有理粗赫斯顿近似的推广
此前,在 Gatheral 和 Radoičić(Heston 粗略解的有理近似。Int. J. Theor. Appl. Finance, 2019, 22(3), 1950010)中,我们推导了以下解的有理近似...
更新日期:2024-02-13
中文翻译:
有理粗赫斯顿近似的推广
此前,在 Gatheral 和 Radoičić(Heston 粗略解的有理近似。Int. J. Theor. Appl. Finance, 2019, 22(3), 1950010)中,我们推导了以下解的有理近似...