Rational Approximation of the Rough Heston Solution
International Journal of Theoretical and Applied Finance, Vol. 22, No. 3, 1950010, 2019
18 Pages Posted: 20 Jun 2018 Last revised: 12 Jun 2019
Date Written: January 29, 2019
We present a simple rational approximation to the solution of the rough Heston Riccati equation valid in a region of its domain relevant to option valuation. Pricing under rough Heston using this approximation is both fast and very accurate.
Keywords: Rough Heston Model, Padé Approximant, Rational Approximation, Volatility Smile, Leverage Swap
JEL Classification: C2, C3, C4, C6
Suggested Citation: Suggested Citation