Discretization schemes for fractional Heston volatility and price converge in expectation to the continuous case with a calculated rate, and Malliavin calculus yields an alternative smooth representation of the option price expectation.
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Option pricing in fractional Heston-type model
Discretization schemes for fractional Heston volatility and price converge in expectation to the continuous case with a calculated rate, and Malliavin calculus yields an alternative smooth representation of the option price expectation.