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Fast reliable pricing and calibration of the rough Heston model

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Bibliographic Details
Main Authors:	Boyarchenko, Svetlana, de Innocentis, Marco, Levendorskiĭ, Sergei
Format:	Preprint
Published:	2025
Subjects:	Computational Finance 60-08, 60E10, 60G10, 60G22, 65C20, 65D30, 65G20, 91G20, 91G60
Online Access:	Acceder al recurso
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