A generalization of the rational rough Heston approximation

Abstract

Previously, in Gatheral and Radoičić (Rational approximation of the rough Heston solution. Int. J. Theor. Appl. Finance, 2019, 22(3), 1950010), we derived a rational approximation of the solution of the rough Heston fractional ODE in the special case λ = 0 , which corresponds to a pure power-law kernel. In this paper we extend this solution to the general case of the Mittag-Leffler kernel with λ ≥ 0 . We provide numerical evidence of the convergence of the solution.