@Article{AAM-39-2,
author = {Liang, Hui and Ma, Jingtang and Zhengguang, Shi},
title = {Rough Heston Models with Variable Vol-of-Vol and Option Pricing},
journal = {Annals of Applied Mathematics},
year = {2023},
volume = {39},
number = {2},
pages = {206--238},
abstract = {<p style="text-align: justify;">In this paper, a rough Heston model with variable volatility of
volatility (vol-of-vol) is derived by modifying the generalized nonlinear Hawkes
process and extending the scaling techniques. Then the nonlinear fractional Riccati equation for the characteristic function of the asset log-price is derived. The
existence, uniqueness and regularity of the solution to the nonlinear fractional
Riccati equation are proved and the equation is solved by the Adams methods.
Finally the Fourier-cosine methods are combined with the Adams methods to
price the options.</p>},
issn = {},
doi = {https://doi.org/10.4208/aam.OA-2023-0009},
url = {https://global-sci.com/article/72611/rough-heston-models-with-variable-vol-of-vol-and-option-pricing}
}