Solving Parametric Volterra Integral Equation from Distributed-Order Rough Heston Model and Option Pricing | Zendy

Zhengguang Shi | Zendy

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Solving Parametric Volterra Integral Equation from Distributed-Order Rough Heston Model and Option Pricing

Author(s) -

Zhengguang Shi

Publication year - 2022

Publication title -

mathematical problems in engineering

Language(s) - English

Resource type - Journals

SCImago Journal Rank - 0.262

H-Index - 62

eISSN - 1026-7077

pISSN - 1024-123X

DOI - 10.1155/2022/1979003

Subject(s) - heston model , parametric statistics , exponential function , valuation of options , mathematics , order (exchange) , stochastic volatility , econometrics , mathematical analysis , economics , statistics , volatility (finance) , finance , sabr volatility model

The rough Heston model has recently attracted the attention of many financial practitioners and researchers because it maintains the basic structure of the classic Heston model and has an advantage in describing the microstructure foundation of the market. In this paper, we study the distributed-order rough Heston model with an exponential tempered factor, and from the characteristic function of log-price in this model, we obtain a nonlinear parametric Volterra integral equation. Finally, the Fourier-cosine methods are combined with the Adams methods to price the option.

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