Rough Heston model as the scaling limit of bivariate cumulative heavy-tailed INAR processes: Weak-error bounds and option pricing

Yingli Wang, Zhenyu Cui, Lingjiong Zhu

We study nearly unstable bivariate cumulative heavy-tailed INAR($\infty$) processes and show that, under a one-factor parameterization and a suitable scaling, they converge to the…