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On the Discrete-Time Simulation of the Rough Heston Model:
Richard, Alexandre
;
Tan, Xiaolu
;
Yang, Fan
SIAM Journal on Financial Mathematics. 14 (2023) 1 - p. 223-249 , 2023
Link:
https://doi.org/10.1137/21m1443807
RT Journal T1 <Title>On the Discrete-Time Simulation of the Rough Heston Model</Title> UL https://suche.suub.uni-bremen.de/peid=cr-10.1137_21m1443807&Exemplar=1&LAN=DE A1 Richard, Alexandre A1 Tan, Xiaolu A1 Yang, Fan PB Society for Industrial & Applied Mathematics (SIAM) YR 2023 SN 1945-497X JF SIAM Journal on Financial Mathematics VO 14 IS 1 SP 223 OP 249 LK http://dx.doi.org/https://doi.org/10.1137/21m1443807 DO https://doi.org/10.1137/21m1443807 SF ELIB - SuUB Bremen
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