Correct implied volatility shapes and reliable pricing in the rough Heston model

Svetlana Boyarchenko, Sergei Levendorskiǐ

We use modifications of the Adams method and very fast and accurate sinh-acceleration method of the Fourier inversion (iFT) (S.Boyarchenko and Levendorskiĭ, IJTAF 2019, v.22) to ev…