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We price American options using kernel-based approximations of the Volterra Heston model.
Volterra integral and functional equations
G. Gripenberg, S.-O. Londen, and O. Staffans · 1990
Earlier work this paper cites.
A closed-form solution for options with stochastic volatility with applications to bond and currency options
S. L. Heston · 1993
Earlier work this paper cites.
Fractional Brownian motion and the Markov property
L. Coutin and P. Carmona · 1998
Earlier work this paper cites.
Continuous martingales and Brownian motion
D. Revuz and M. Yor · 1999
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Approximation of some Gaussian processes
P. Carmona, L. Coutin, and G. Montseny · 2000
Earlier work this paper cites.
Valuing American options by simulation: a simple least-squares approach
F. A. Longstaff and E. S. Schwartz · 2001
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Stochastic differential equations
P. E. Protter · 2005
Earlier work this paper cites.
On the short-time behavior of the implied volatility for jump-diffusion models with stochastic volatility
E. Alòs, J. A. León, and J. Vives · 2007
Earlier work this paper cites.
Affine fractional stochastic volatility models
F. Comte, L. Coutin, and E. Renault · 2012
Earlier work this paper cites.
Pricing under rough volatility
C. Bayer, P. Friz, and J. Gatheral · 2016
Earlier work this paper cites.
Rough fractional diffusions as scaling limits of nearly unstable heavy tailed Hawkes processes
T. Jaisson and M. Rosenbaum · 2016
Earlier work this paper cites.
Hybrid scheme for Brownian semistationary processes
M. Bennedsen, A. Lunde, and M. S. Pakkanen · 2017
Earlier work this paper cites.
Short-time at-the-money skew and rough fractional volatility
M. Fukasawa · 2017
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Functional central limit theorems for rough volatility
B. Horvath, A. J. Jacquier, and A. Muguruza · 2017
Earlier work this paper cites.
The microstructural foundations of leverage effect and rough volatility
O. El Euch, M. Fukasawa, and M. Rosenbaum · 2018
Earlier work this paper cites.
Perfect hedging in rough Heston models
O. El Euch and M. Rosenbaum · 2018
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Volatility is rough
J. Gatheral, T. Jaisson, and M. Rosenbaum · 2018
Cited alongside, same era.
Asymptotic behavior of the fractional Heston model
H. Guennoun, A. Jacquier, P. Roome, and F. Shi · 2018
Cited alongside, same era.
M. Keller-Ressel, M. Larsson, and S. Pulido · 2018
Cited alongside, same era.
Lifting the Heston model
E. Abi Jaber · 2019
Cited alongside, same era.
Markovian structure of the Volterra Heston model
E. Abi Jaber and O. El Euch · 2019
Cited alongside, same era.
Multifactor approximation of rough volatility models
E. Abi Jaber and O. El Euch · 2019
Cited alongside, same era.
Pricing options under rough volatility with backward SPDEs
C. Bayer, J. Qiu, and Y. Yao · 2020
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Pricing American options by exercise rate optimization
C. Bayer, R. Tempone, and S. Wolfers · 2020
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Generalized Feller processes and Markovian lifts of stochastic Volterra processes: the affine case
C. Cuchiero and J. Teichmann · 2020
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Machine learning for pricing American options in high-dimensional markovian and non-markovian models
L. Goudenège, A. Molent, and A. Zanette · 2020
Later among the works it cites.
Mean–variance portfolio selection under Volterra Heston model
B. Han and H. Y. Wong · 2020
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A weak solution theory for stochastic Volterra equations of convolution type
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E. Abi Jaber, M. Larsson, and S. Pulido · 2019
Cited alongside, same era.
Deep optimal stopping
S. Becker, P. Cheridito, and A. Jentzen · 2019
Cited alongside, same era.
The characteristic function of rough Heston models
O. El Euch and M. Rosenbaum · 2019
Cited alongside, same era.
Optimal portfolio under fractional stochastic environment
J.-P. Fouque and R. Hu · 2019
Cited alongside, same era.
M. Fukasawa, T. Takabatake, and R. Westphal · 2019
Cited alongside, same era.
Affine forward variance models
J. Gatheral and M. Keller-Ressel · 2019
Cited alongside, same era.
E. Abi Jaber, C. Cuchiero, M. Larsson, and S. Pulido · 2021
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Linear-Quadratic control for a class of stochastic Volterra equations: solvability and approximation
E. Abi Jaber, E. Miller, and H. Pham · 2021
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Markowitz portfolio selection for multivariate affine and quadratic Volterra models
E. Abi Jaber, E. Miller, and H. Pham · 2021
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Approximation of Stochastic Volterra Equations with kernels of completely monotone type
A. Alfonsi and A. Kebaier · 2021
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Makovian approximations of stochastic Volterra equations with the fractional kernel
C. Bayer and S. Breneis · 2021
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Decoupling the Short- and Long-Term Behavior of Stochastic Volatility
M. Bennedsen, A. Lunde, and M. S. Pakkanen · 2021
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Fast hybrid schemes for fractional Riccati equations (rough is not so tough)
G. Callegaro, M. Grasselli, and G. Pagès · 2021
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Merton’s portfolio problem under Volterra Heston model
B. Han and H. Y. Wong · 2021
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Neural network regression for Bermudan option pricing
B. Lapeyre and J. Lelong · 2021
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Hybrid multifactor scheme for stochastic Volterra equations
S. E. Rømer · 2021
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