An inverse-Gaussian implicit scheme for integrated Volterra square-root processes is proved weakly convergent and shown numerically accurate with very few time steps, including for hyper-rough fractional kernels.
Lifting the H eston model
1 Pith paper cite this work. Polarity classification is still indexing.
1
Pith paper citing it
fields
q-fin.MF 1years
2025 1verdicts
CONDITIONAL 1representative citing papers
citing papers explorer
-
Simulating integrated Volterra square-root processes and Volterra Heston models via Inverse Gaussian
An inverse-Gaussian implicit scheme for integrated Volterra square-root processes is proved weakly convergent and shown numerically accurate with very few time steps, including for hyper-rough fractional kernels.