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Fractional Riccati Equation and Its Applications to Rough Heston Model Using Numerical Methods
16 references·0 citing·33 second hop
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References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options8,768 cited
  • 1968Fractional Brownian Motions, Fractional Noises and Applications7,658 cited
  • 1987The Pricing of Options on Assets with Stochastic Volatilities3,864 cited
  • 1996Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options2,272 cited
  • 1999Option valuation using the fast Fourier transform2,155 cited
  • 2018Volatility Is Rough793 cited
  • 1998Long memory in continuous‐time stochastic volatility models752 cited
  • 2001Mixed Fractional Brownian Motion387 cited
  • 2001A Simple Option Formula for General Jump-Diffusion and Other Exponential Levy Processes316 cited
  • 2019The characteristic function of rough Heston models305 cited
  • 1996OPTION HEDGING AND IMPLIED VOLATILITIES IN A STOCHASTIC VOLATILITY MODEL1240 cited
  • 2007On the short-time behavior of the implied volatility for jump-diffusion models with stochastic volatility239 cited
  • 2010Asymptotic analysis for stochastic volatility: martingale expansion160 cited
  • 2018The microstructural foundations of leverage effect and rough volatility

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154 cited
  • 2012The Volatility Surface145 cited
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