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

Hammouda, Chiheb Ben et al.
arXiv (All) · Papers · License: Open Access
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91g20computationalfinancenumericalanalysis
computational finance, numerical analysis, 65d32, 65r10, 91g60, 91g20, 65y20, 60g22
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Record · ID 819886
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