On the discrete-time simulation of the rough Heston model.
Alexandre RichardXiaolu TanFan YangPublished in: CoRR (2021)
Keyphrases
- mathematical model
- experimental data
- high level
- simulation tool
- probabilistic model
- simulation model
- theoretical analysis
- computational model
- simulation environment
- dynamic systems
- discrete event
- formal model
- analytical model
- monte carlo simulation
- statistical model
- simulation data
- queuing network
- simulation study
- real time
- theoretical framework
- parameter estimation
- rough sets
- management system
- cost function
- decision making