Rough Volatility Gatheral-Heston rHeston Calculator

Price options under rough Heston volatility model. Volatility is driven by a fractional Brownian motion with Hurst parameter H<0.5, capturing long-range dependence and sharp smile.

Principal ($)
Annual Rate (%)
Years
Compounding / Year
$ Finance Disclaimer: These calculators are for educational and illustrative purposes only. Results do not constitute financial advice. Consult a licensed financial advisor before making investment or borrowing decisions.
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How to Use

Enter the values for the scenario you are assessing. Price options under rough Heston volatility model. Volatility is driven by a fractional Brownian motion with Hurst parameter H<0.5, capturing long-range dependence and sharp smile. Use the rough heston vol result to inform your calculation.

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Frequently Asked Questions