Regime Switching Rough Heston Model
Abstract
We consider the implementation and pricing under a regime switching rough Heston model combining the approach by Elliot et al. (2016) with the one by Euch and Rosenbaum (2016). [ view full abstract ]
Authors
- Mesias Alfeus (University of Technology Sydney)
- Ludger Overbeck (University of Giessen)
Topic Areas
Numerical Methods , Options , Stochastic Volatility
Session
MO-A-B2 » Stochastic Volatility 1 (11:30 - Monday, 16th July, Beckett 2)
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