SPX calibration of option approximations under rough Heston model
The volatility of stock return does not follow the classical Brownian motion, but instead it follows a form that is closely related to fractional Brownian motion. Taking advantage of this information, the rough version of classical Heston model also known as rough Heston model has been derived as th...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2021
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| Online Access: | http://psasir.upm.edu.my/id/eprint/95138/ http://psasir.upm.edu.my/id/eprint/95138/1/SPX%20calibration%20of%20option%20approximations%20under%20rough%20Heston%20model.pdf |