| On a Fast Algorithm for Simulation of the Rough Heston Model |
| کد مقاله : 1056-FEMATH8 |
| نویسندگان |
|
الهام ویسی *1، علی فروش باستانی2 1دانشگاه تحصیلات تکمیلی علوم پایه زنجان 2دانشگاه تحصیلات تکمیلی علوم پایه زنجان |
| چکیده مقاله |
| In this paper, we consider the rough Heston model for the asset price dynamics in which the variance process satisfies a stochastic Volterra integral equation with a fractional kernel. Due to this kernel, the variance process does not posses the Markov and semi-Martingale properties. So, simulating these types of processes has a high computational cost. In this paper, we simulate the variance process in the rough Heston model using a fast algorithm due to Ma and Wu and compare it with some existing methods. We also show the application of our results to some option pricing problems from the literature. |
| کلیدواژه ها |
| Rough Heston model, Fractional Brownian motion, Monte Carlo simulation, Option pricing |
| وضعیت: پذیرفته شده برای ارائه شفاهی |
