A generalization of the rational rough Heston approximation
2023-10-13Code Available1· sign in to hype
Jim Gatheral, Radoš Radoičić
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Abstract
Previously, in [GR19], we derived a rational approximation of the solution of the rough Heston fractional ODE in the special case = 0, which corresponds to a pure power-law kernel. In this paper we extend this solution to the general case of the Mittag-Leffler kernel with 0. We provide numerical evidence of the convergence of the solution.