Single- and Multilevel Quadrature with Error Control for Fourier Pricing under the Rough Heston Model

Chiheb Ben Hammouda, Abderrahmene Ben Romdhane, Michael Samet +1

Unlike the classical Heston model, Fourier pricing under the rough Heston model requires solving a fractional Riccati equation at every quadrature point. Since the required resolut…