The paper shows that the rough Heston calibration in El Euch and Rosenbaum (2019) is likely a numerical artifact, and provides faster, more accurate pricing methods.
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Correct implied volatility shapes and reliable pricing in the rough Heston model
The paper shows that the rough Heston calibration in El Euch and Rosenbaum (2019) is likely a numerical artifact, and provides faster, more accurate pricing methods.