on a fast algorithm for simulation of the rough heston model

In this paper, we consider the rough heston model for the asset price dynamics in which the variance process satisfies a stochastic volterra integral equation with a fractional kernel. due to this kernel, the variance process does not posses the markov and semi-martingale properties. so, simulating these types of processes has a high computational cost. in this paper, we simulate the variance process in the rough heston model using a fast algorithm due to ma and wu and compare it with some existing methods. we also show the application of our results to some option pricing problems from the literature.