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q-fin.CP2023
A generalization of the rational rough Heston approximation
Jim Gatheral, Radoš Radoičić
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…
q-fin.CP2018
Short-term at-the-money asymptotics under stochastic volatility models
Omar El Euch, Masaaki Fukasawa, Jim Gatheral +1
A small-time Edgeworth expansion of the density of an asset price is given under a general stochastic volatility model, from which asymptotic expansions of put option prices and at…