A generalization of the rational rough Heston approximation

Jim Gatheral and Rado\v{s} Radoi\v{c}i\'c

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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 \lambda = 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. We provide numerical evidence of the convergence of the solution.

Date: 2023-10, Revised 2024-02
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Published in Quantitative Finance, 2024

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