Rough Heston model with variable Hurst exponent and option pricing

International Review of Economics & Finance 2026 Open access

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Authors: Zhengguang Shi, Haofei Wu
DOI: 10.1016/j.iref.2026.105054
Cited by: 0
References: 27

Abstract

This paper studies a rough Heston model with a variable Hurst exponent. A piecewise rough Heston model is constructed via a piecewise Hawkes process and analyzed within this framework. Option pricing under the proposed model is investigated using the Monte Carlo method combined with a fast path simulation approach. Empirical studies based on real financial data demonstrate the effectiveness of the model.

Fields of Study & Subjects

Stochastic processes and financial applications Fractional Differential Equations Solutions Financial Markets and Investment Strategies

Publication details

Journal / source
International Review of Economics & Finance
Volume
107
Pages
105054–105054
Publication date
28 February 2026
Language
EN