Konferenzpaper
Autorenliste: Alfeus, Mesias; Overbeck, Ludger; Schloegl, Erik
Jahr der Veröffentlichung: 2019
Seiten: 538-552
Zeitschrift: The Journal of Futures Markets
Bandnummer: 39
Heftnummer: 5
ISSN: 0270-7314
eISSN: 1096-9934
DOI Link: https://doi.org/10.1002/fut.21993
Konferenz: 5th Annual Derivatives Market Conference
Verlag: Wiley
Abstract:
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.
Zitierstile
Harvard-Zitierstil: Alfeus, M., Overbeck, L. and Schloegl, E. (2019) Regime switching rough Heston model, The Journal of Futures Markets, 39(5), pp. 538-552. https://doi.org/10.1002/fut.21993
APA-Zitierstil: Alfeus, M., Overbeck, L., & Schloegl, E. (2019). Regime switching rough Heston model. The Journal of Futures Markets. 39(5), 538-552. https://doi.org/10.1002/fut.21993