Rough Heston model as the scaling limit of bivariate cumulative heavy-tailed INAR processes: Weak-error bounds and option pricing

Fuente: arXiv

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Bibliographic Details
Main Authors:	Wang, Yingli, Cui, Zhenyu, Zhu, Lingjiong
Format:	Preprint
Published:	2025
Subjects:	Probability Mathematical Finance 60G22, 60H35, 91G20, 62M10, 60F17
Online Access:	Acceder al recurso
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Internet

https://arxiv.org/abs/2503.18259