Convolution-FFT for option pricing in the Heston model

Fuente: arXiv

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Bibliographic Details
Main Authors:	Gao, Xiang, Hyndman, Cody
Format:	Preprint
Published:	2025
Subjects:	Computational Finance Numerical Analysis Probability Pricing of Securities 65T50, 91G60 (Primary) 60H30, 60E10 (Secondary)
Online Access:	Acceder al recurso
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Internet

https://arxiv.org/abs/2512.05326