Regime switching rough Heston model

Alfeus, M; Overbeck, L; Schlögl, E

Regime switching rough Heston model

Alfeus, M

Overbeck, L Schlögl, E

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Publication Type:: Journal Article
Citation:: Journal of Futures Markets, 2019, 39 (5), pp. 538 - 552
Issue Date:: 2019-05-01

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Field	Value	Language
dc.contributor.author	Alfeus, M https://orcid.org/0000-0001-9273-0614	en_US
dc.contributor.author	Overbeck, L	en_US
dc.contributor.author	Schlögl, E https://orcid.org/0000-0001-8898-6879	en_US
dc.date.issued	2019-05-01	en_US
dc.identifier.citation	Journal of Futures Markets, 2019, 39 (5), pp. 538 - 552	en_US
dc.identifier.issn	0270-7314	en_US
dc.identifier.uri	http://hdl.handle.net/10453/132218
dc.description.abstract	© 2019 Wiley Periodicals, Inc. This model combines two important stylized features of volatility, the rough behavior consistent with a Hurst parameter less than 0.5, and the regime switching property consistent with more long-term economic considerations. It is nevertheless highly tractable in the sense of semianalytic formulae for European options, and permits a partial Monte Carlo method of similar computational speed as the semianalytic formula (at an appropriate number of Monte Carlo simulations). While option prices are relatively insensitive to the choice of Hurst parameter, introducing rough volatility allows for a better fit to the at-the-money skew.	en_US
dc.relation.ispartof	Journal of Futures Markets	en_US
dc.relation.isbasedon	10.1002/fut.21993	en_US
dc.subject.classification	Finance	en_US
dc.title	Regime switching rough Heston model	en_US
dc.type	Journal Article
utslib.citation.volume	5	en_US
utslib.citation.volume	39	en_US
utslib.for	1502 Banking, Finance and Investment	en_US
pubs.embargo.period	Not known	en_US
pubs.organisational-group	/University of Technology Sydney
pubs.organisational-group	/University of Technology Sydney/Faculty of Business
pubs.organisational-group	/University of Technology Sydney/Faculty of Science
pubs.organisational-group	/University of Technology Sydney/Faculty of Science/School of Mathematical and Physical Sciences
pubs.organisational-group	/University of Technology Sydney/Strength - QFRC - Quantitative Finance Research Centre
utslib.copyright.status	closed_access
pubs.issue	5	en_US
pubs.publication-status	Published	en_US
pubs.volume	39	en_US

Abstract:

© 2019 Wiley Periodicals, Inc. This model combines two important stylized features of volatility, the rough behavior consistent with a Hurst parameter less than 0.5, and the regime switching property consistent with more long-term economic considerations. It is nevertheless highly tractable in the sense of semianalytic formulae for European options, and permits a partial Monte Carlo method of similar computational speed as the semianalytic formula (at an appropriate number of Monte Carlo simulations). While option prices are relatively insensitive to the choice of Hurst parameter, introducing rough volatility allows for a better fit to the at-the-money skew.

Please use this identifier to cite or link to this item:

http://hdl.handle.net/10453/132218