A generalization of the rational rough Heston approximation

Abstract

Previously, in [GR19], we derived a rational approximation of the solution of the rough Heston fractional ODE in the special case 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 λ\geq 0. We provide numerical evidence of the convergence of the solution.

10 pages, 6 figures