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...

Popoln opis

Bibliografske podrobnosti

Principais autores:	Zhengguang Shi, Haofei Wu
Format:	Artigo
Jezik:	Inglês
Izdano:	Elsevier 2026-04-01
Serija:	International Review of Economics & Finance
Teme:	Rough Heston model Hawkes process Path simulation Option pricing Empirical studies
Online dostop:	http://www.sciencedirect.com/science/article/pii/S105905602600167X
Oznake:	Označite Brez oznak, prvi označite!