Items where Author is "Siow, Woon Jeng"

Siow, Woon Jeng and Kilicman, Adem (2021) On multilevel and control variate Monte Carlo methods for option pricing under the rough Heston model. Mathematics, 9 (22). art. no. 2930. pp. 1-32. ISSN 2227-7390

Siow, Woon Jeng and Kilicman, Adem (2021) SPX calibration of option approximations under rough Heston model. Mathematics, 9 (21). art. no. 2675. pp. 1-11. ISSN 2227-7390

Siow, Woon Jeng and Kilicman, Adem (2020) Approximation formula for option prices under Rough Heston model and short-time implied volatility behaviour. Symmetry-Basel, 12 (11). art. no. 1878. pp. 1-24. ISSN 2073-8994

Siow, Woon Jeng and Kilicman, Adem (2020) Fractional Riccati equation and its applications to rough Heston model using numerical methods. Symmetry, 12 (6). art. no. 959. pp. 1-20. ISSN 2073-8994

Siow, Woon Jeng and Kilicman, Adem (2020) Series expansion and fourth-order global pade approximation for rough Heston solution. Mathematics, 18 (11). pp. 1-26. ISSN 2227-7390

Siow, Woon Jeng (2021) Option pricing for rough Heston model using numerical methods. Masters thesis, Universiti Putra Malaysia.