Approximation formula for option prices under Rough Heston model and short-time implied volatility behaviour

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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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Bibliographic Details
Main Authors:	Siow, Woon Jeng, Kilicman, Adem
Format:	Article
Language:	English
Published:	Multidisciplinary Digital Publishing Institute 2020
Online Access:	http://psasir.upm.edu.my/id/eprint/87921/ http://psasir.upm.edu.my/id/eprint/87921/1/ABSTRACT.pdf

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