Roughening Heston
11 Pages Posted: 14 Feb 2018 Last revised: 21 Feb 2018
Date Written: February 20, 2018
Abstract
Rough volatility models are known to fit the volatility surface remarkably well with very few parameters. On the other hand, the classical Heston model is highly tractable allowing for fast calibration. We present here the rough Heston model which offers the best of both worlds. Even better, we find that we can accurately approximate rough Heston model values by scaling the volatility of volatility parameter of the classical Heston model.
Suggested Citation: Suggested Citation
El Euch, Omar and Gatheral, Jim and Rosenbaum, Mathieu, Roughening Heston (February 20, 2018). Available at SSRN: https://ssrn.com/abstract=3116887 or http://dx.doi.org/10.2139/ssrn.3116887
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