Rough Heston model with variable Hurst exponent and option pricing
This paper studies a rough Heston model with a variable Hurst exponent. A piecewise rough Heston model is constructed via a piecewise Hawkes process and analyzed within this framework. Option pricing under the proposed model is investigated using the Monte Carlo method combined with a fast path simu...
Salvato in:
| Autori principali: | , |
|---|---|
| Natura: | Artigo |
| Lingua: | Inglês |
| Pubblicazione: |
Elsevier
2026-04-01
|
| Serie: | International Review of Economics & Finance |
| Soggetti: | |
| Accesso online: | http://www.sciencedirect.com/science/article/pii/S105905602600167X |
| Tags: |
Nessun Tag, puoi essere il primo ad aggiungerne!!
|