Regime Switching Rough Heston Model

Mesias Alfeus () and Ludger Overbeck
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Mesias Alfeus: Finance Discipline Group, UTS Business School, University of Technology Sydney
Ludger Overbeck: University of Giessen

No 387, Research Paper Series from Quantitative Finance Research Centre, University of Technology, Sydney

Abstract: We consider the implementation and pricing under a regime switching rough Heston model combining the approach by Elliott et al. (2016) with the one by Euch and Rosenbaum (2016).

Keywords: Rough Browian Motion; Regime Switching; Heston Model; Analytic Pricing Formula; Full and partial Monte-Carlo-Methods (search for similar items in EconPapers)
Pages: 26 pages
Date: 2018-01-01
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