Regime switching rough Heston model
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DOI: 10.1002/fut.21993
Abstract: This model combines two important stylized features of volatility, the rough behavior consistent with a Hurst parameter less than 0.5, and the regime switching property consistent with more long‐term economic considerations. It is nevertheless highly… read more here.
Keywords: rough heston; heston model; model; switching rough ... See more keywords
Moment explosions in the rough Heston model
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DOI: 10.1007/s10203-019-00267-6
Abstract: We show that the moment explosion time in the rough Heston model, introduced by El Euch and Rosenbaum in 2016, is finite if and only if it is finite for the classical Heston model. Upper… read more here.
Keywords: rough heston; explosion time; moment; heston model ... See more keywords
Approximation Formula for Option Prices under Rough Heston Model and Short-Time Implied Volatility Behavior
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DOI: 10.3390/sym12111878
Abstract: Rough Heston model possesses some stylized facts that can be used to describe the stock market, i.e., markets are highly endogenous, no statistical arbitrage mechanism, liquidity asymmetry for buy and sell order, and the presence… read more here.
Keywords: option prices; implied volatility; option; rough heston ... See more keywords