SPX calibration of option approximations under rough Heston model

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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...

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Bibliographic Details
Main Authors:	Siow, Woon Jeng, Kilicman, Adem
Format:	Article
Language:	English
Published:	MDPI AG 2021
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

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