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"On the Discrete-Time Simulation of the Rough Heston Model."

Alexandre Richard, Xiaolu Tan, Fan Yang (2023)

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DOI: 10.1137/21M1443807

access: closed

type: Journal Article

metadata version: 2023-05-17

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Alexandre Richard, Xiaolu Tan, Fan Yang:
On the Discrete-Time Simulation of the Rough Heston Model. SIAM J. Financial Math. 14(1): 223-249 (2023)

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