Convolution-FFT for option pricing in the Heston model

By Xiang Gao, Cody Hyndman

Published 2025-11-03

Everscope rating

1859.2

Relevance to quantitative trading

8 / 10

Implementation complexity

6 / 10

Reproducibility

3 / 5

About this paper

Methodology: Convolution-FFT (CFFT) method. Problem types: Option Pricing, Numerical Integration, Error Analysis, Calibration.

arXiv:2512.05326 · Paper rankings

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