On Multilevel and Control Variate Monte Carlo Methods for Option Pricing under the Rough Heston Model
The rough Heston model is a form of a stochastic Volterra equation, which was proposed to model stock price volatility. It captures some important qualities that can be observed in the financial market—highly endogenous, statistical arbitrages prevention, liquidity asymmetry, and metaorders. Unlike...
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| Auteurs principaux: | , |
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| Format: | article |
| Langue: | EN |
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MDPI AG
2021
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| Accès en ligne: | https://doaj.org/article/3ca982ddfe134bbe98194196282c8b02 |
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