A generalization of the rational rough Heston approximation

Jim Gatheral and Radoš Radoičić

Quantitative Finance, 2024, vol. 24, issue 2, 329-335

Abstract: Previously, in Gatheral and Radoičić (Rational approximation of the rough Heston solution. Int. J. Theor. Appl. Finance, 2019, 22(3), 1950010), we derived a rational approximation of the solution of the rough Heston fractional ODE in the special case $ \lambda =0 $ λ=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 $ \lambda \geq 0 $ λ≥0. We provide numerical evidence of the convergence of the solution.

Date: 2024
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DOI: 10.1080/14697688.2024.2302055

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