Lech A. Grzelak

Lifted Heston Model: Efficient Monte Carlo Simulation with Large Time Steps

Abstract. The lifted Heston model [E. Abi Jaber, Quantitative Finance, 19 (2019), pp. 1995–2013] is a stochastic volatility model emerging as a Markovian lift of the rough Heston model [O. El Euch and M. Rosenbaum, Mathematical Finance, 29 (2019), pp. 3–38] and the class of rough...