Roughening Heston

Omar El Euch, Jim Gatheral, Mathieu Rosenbaum
15 Apr 2019

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Rough volatility models are known to fit the volatility surface with very few parameters. The classical Heston model, however, is highly tractable, allowing for fast calibration. Omar El Euch, Jim Gatheral and Mathieu Rosenbaum present here the rough Heston model, which combines these two worlds. In particular, the authors find they can accurately approximate rough Heston model values by scaling the

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Roughening Heston

El Euch, Rosenbaum, Gatheral combine a rough volatility model with the classical Heston model

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