  We study Euler-type discrete-time schemes for the rough Heston model, which
can be described by a stochastic Volterra equation (with non-Lipschtiz
coefficient functions), or by an equivalent integrated variance formulation.
Using weak convergence techniques, we prove that the limits of the
discrete-time schemes are solution to some modified Volterra equations. Such
modified equations are then proved to share the same unique solution as the
initial equations, which implies the convergence of the discrete-time schemes.
Numerical examples are also provided in order to evaluate different derivative
options prices under the rough Heston model.
