most citedAsymptotic behaviour of the fractional Heston model

14 citations · 14 across the 1 of their papers we have counts for

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q-fin.MF2014★ 14 cited

Asymptotic behaviour of the fractional Heston model

Hamza Guennoun, Antoine Jacquier, Patrick Roome +1

We consider the fractional Heston model originally proposed by Comte, Coutin and Renault. Inspired by recent ground-breaking work on rough volatility, which showed that models with…