Fractional Riccati equation and its applications to rough Heston model using numerical methods

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Fractional Riccati equation and its applications to rough Heston model using numerical methods

Rough volatility models are recently popularized by the need of a consistent model for the observed empirical volatility in the financial market. In this case, it has been shown that the empirical volatility in the financial market is extremely consistent with the rough volatility. Currently, fracti...

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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/89064/ http://psasir.upm.edu.my/id/eprint/89064/1/HES.pdf

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