Rough Heston model as the scaling limit of bivariate cumulative heavy-tailed INAR processes: Weak-error bounds and option pricing
- DOI
- 10.48550/arxiv.2503.18259
- Published
- 2025
- Container
- Not recorded
- Publisher
- arXiv
- Open access
- yes
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Cite this work
BibTeX
@article{allodium:10.48550/arxiv.2503.18259,
title = {Rough Heston model as the scaling limit of bivariate cumulative heavy-tailed INAR processes: Weak-error bounds and option pricing},
author = {Wang, Yingli and Cui, Zhenyu and Zhu, Lingjiong},
year = {2025},
doi = {10.48550/arxiv.2503.18259},
url = {https://doi.org/10.48550/arxiv.2503.18259}
}RIS
TY - JOUR TI - Rough Heston model as the scaling limit of bivariate cumulative heavy-tailed INAR processes: Weak-error bounds and option pricing AU - Wang, Yingli AU - Cui, Zhenyu AU - Zhu, Lingjiong PY - 2025 DO - 10.48550/arxiv.2503.18259 UR - https://doi.org/10.48550/arxiv.2503.18259 ER -
APA
Yingli, W., Zhenyu, C., & Lingjiong, Z. (2025). Rough Heston model as the scaling limit of bivariate cumulative heavy-tailed INAR processes: Weak-error bounds and option pricing. https://doi.org/10.48550/arxiv.2503.18259
Source records
- datacite · retrieved 2026-11-10T12:40:16.372Z