Download This PaperRational 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
Abstract
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
Gatheral, Jim and Radoicic, Rados, Rational Approximation of the Rough Heston Solution (January 29, 2019). International Journal of Theoretical and Applied Finance, Vol. 22, No. 3, 1950010, 2019, Available at SSRN: https://ssrn.com/abstract=3191578 or http://dx.doi.org/10.2139/ssrn.3191578
Do you have a job opening that you would like to promote on SSRN?
Feedback
Feedback to SSRN