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

QR Code

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

The rough Heston model has recently been shown to be extremely consistent with the observed empirical data in the financial market. However, the shortcoming of the model is that the conventional numerical method to compute option prices under it requires great computational effort due to the presenc...

Full description

Bibliographic Details
Main Authors:	Siow, Woon Jeng, Kilicman, Adem
Format:	Article
Published:	MDPI AG 2020
Online Access:	http://psasir.upm.edu.my/id/eprint/85799/

Similar Items

SPX calibration of option approximations under rough Heston model
by: Siow, Woon Jeng, et al.
Published: (2021)

Approximation formula for option prices under Rough Heston model and short-time implied volatility behaviour
by: Siow, Woon Jeng, et al.
Published: (2020)

Fractional Riccati equation and its applications to rough Heston model using numerical methods
by: Siow, Woon Jeng, et al.
Published: (2020)

On multilevel and control variate Monte Carlo methods for option pricing under the rough Heston model
by: Siow, Woon Jeng, et al.
Published: (2021)

Option pricing for rough Heston model using numerical methods
by: Siow, Woon Jeng
Published: (2021)

Approximation solution for system of generalized ordered variational inclusions with operator in ordered Banach space
by: Mohd. Sarfaraz, et al.
Published: (2017)

Approximate solution of integro-differential equation of fractional (arbitrary) order
by: A. Elbeleze, Asma, et al.
Published: (2016)

Bezier curves method for fourth-order integrodifferential equations
by: Ghomanjani, Fateme, et al.
Published: (2013)

An A Posteriori Error Indicator for Discontinuous Galerkin Approximations of Fourth Order Elliptic Problems
by: Georgoulis, Emmanuil H., et al.
Published: (2008)

Solving Zhou chaotic system using fourth-order Runge-Kutta method
by: Mohd Roslan, Umuu ’Atiqah, et al.
Published: (2013)

On the instability of solutions of nonlinear delay differential equations of fourth and fifth order
by: Tunc, Cemil
Published: (2011)

Parallel implementation of complexity reduction approach to fourth order approximation on 2D free space wave propagation.
by: Hasan, Mohammad Khatim, et al.
Published: (2008)

The approximate solution of fractional Fredholm integrodifferential equations by variational iteration and homotopy perturbation methods
by: Kadem, Abdelouahab, et al.
Published: (2012)

The approximation of the solution of wave problems by spectral expansions connected with elliptic differential operators
by: Akhmedov, Abdulkasim, et al.
Published: (2021)

Analytical approximate solution of Carleman's equation by using Maclaurin series
by: Yaghobifar, Mohammad, et al.
Published: (2010)

Positive solutions of fourth-order nonlinear singular Sturm-Liouville eigenvalue problems
by: Liu, L., et al.
Published: (2007)

Approximate solutions for non-linear iterative fractional differential equations
by: Damag, Faten Hasan Mohammed, et al.
Published: (2016)

Evaluation of high-degree series expansions of the topographic potential to higher-order powers
by: Hirt, Christian, et al.
Published: (2012)

On the approximation of the spectral expansions of distributions in the weak topology
by: Rakhimov, Abdumalik A.
Published: (2012)

On The Theory Of Diophantine Approximations And Continued Fractions Expansion.
by: Haili, Hailiza Kamarul, et al.
Published: (2005)

Solution of Navier-Stokes equations by fourth-order compact schemes and AUSM flux splitting
by: Mawlood, M.K., et al.
Published: (2006)

Positive solutions for p-Laplacian fourth-order differential system with integral boundary conditions
by: Jiang, J., et al.
Published: (2012)

Fourth order solutions of singularly perturbed boundary value problems by quarter-sweep iteration
by: Sulaiman, Jumat, et al.
Published: (2012)

Analytical approximate solutions to the nonlinear fornberg–whitham type equations via modified variational iteration method
by: Asaduzzaman, Md., et al.
Published: (2024)

Positive solutions of singular boundary value problems for systems of nonlinear fourth order differential equations
by: Liu, L., et al.
Published: (2008)

Fourth-order solutions of nonlinear two-point boundary value problems by Newton-HSSOR iteration
by: Sulaiman, Jumat, et al.
Published: (2013)

Solutions of linear multi-dimensional fractional order Volterra integral equations
by: Ahmood, Wasan Ajeel, et al.
Published: (2016)

A comparison on solutions of fifth-order boundary-value problems
by: Akgul, Ali, et al.
Published: (2016)

A new variant of arithmetic mean iterative method for fourth order integro-differential equations solution
by: Aruchunan, E., et al.
Published: (2016)

Fourth Order Torque Prediction Model in End Milling
by: K., Kadirgama, et al.
Published: (2009)

Solution of second-order IVP and BVP of matrix differential models using matrix DTM
by: Abazari, Reza, et al.
Published: (2012)

Solitary wave solutions with compact support for the nonlinear dispersive K (m,n) equations by using approximate analytical method
by: Che Hussin, Che Haziqah, et al.
Published: (2021)

Solving third order boundary value problem using fourth order block method
by: Abdullah, Ahmad Shah, et al.
Published: (2013)

The Fourth Order Linear Recurrence Sequence For RSA Type Cryptosystem
by: Wong, Tze Jin
Published: (2006)

Fourth-Order Spline Methods For Solving Nonlinear Schrödinger Equation
by: Ahmad, Azhar
Published: (2021)

Generalized fuzzy rough approximation operators determined by fuzzy implicators
by: Wu, W., et al.
Published: (2013)

Asymptotic solutions of the Helmholtz equation: generalised Friedlander-Keller ray expansions of fractional order
by: Tew, R.H.
Published: (2020)

On the solution of fractional order nonlinear boundary value problems by using differential transformation method.
by: Kilicman, Adem, et al.
Published: (2011)

Alternate expansion series for the incomplete cylindrical function
by: Sulaeman, Erwin
Published: (2011)

Approximate analytical solutions of bright pptical soliton for nonlinear schrödinger equation of power law nonlinearity
by: Che Hussin, Che Haziqah, et al.
Published: (2021)