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| Main Authors: | , |
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| Format: | Preprint |
| Published: |
2023
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| Subjects: | |
| Online Access: | https://arxiv.org/abs/2310.09181 |
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| _version_ | 1866911776779534336 |
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| author | Gatheral, Jim Radoičić, Radoš |
| author_facet | Gatheral, Jim Radoičić, Radoš |
| contents | Previously, in [GR19], we derived a rational approximation of the solution of the rough Heston fractional ODE in the special case λ= 0, which corresponds to a pure power-law kernel. In this paper we extend this solution to the general case of the Mittag-Leffler kernel with λ\geq 0. We provide numerical evidence of the convergence of the solution. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2310_09181 |
| institution | arXiv |
| publishDate | 2023 |
| record_format | arxiv |
| spellingShingle | A generalization of the rational rough Heston approximation Gatheral, Jim Radoičić, Radoš Computational Finance Previously, in [GR19], we derived a rational approximation of the solution of the rough Heston fractional ODE in the special case λ= 0, which corresponds to a pure power-law kernel. In this paper we extend this solution to the general case of the Mittag-Leffler kernel with λ\geq 0. We provide numerical evidence of the convergence of the solution. |
| title | A generalization of the rational rough Heston approximation |
| topic | Computational Finance |
| url | https://arxiv.org/abs/2310.09181 |