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

By Chiheb Ben Hammouda, Abderrahmene Ben Romdhane, Michael Samet, Raúl F. Tempone

Published 2026-08-31

Everscope rating

1933.5

Relevance to quantitative trading

8 / 10

Implementation complexity

8 / 10

Reproducibility

4 / 5

About this paper

Methodology: Single- and Multilevel Scaled Gauss-Laguerre Quadrature with Fractional Adams Discretization. Problem types: Optimization, Numerical Integration, Option Pricing, Risk Management.

arXiv:2609.00438 · Paper rankings

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