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q-fin.CP2026
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…
q-fin.CP2024
Quasi-Monte Carlo with Domain Transformation for Efficient Fourier Pricing of Multi-Asset Options
Christian Bayer, Chiheb Ben Hammouda, Antonis Papapantoleon +2
Efficiently pricing multi-asset options poses a significant challenge in quantitative finance. Fourier methods leverage the regularity properties of the integrand in the Fourier do…