{"id":"https://openalex.org/W4417142497","doi":"https://doi.org/10.48550/arxiv.2512.05326","title":"Convolution-FFT for option pricing in the Heston model","display_name":"Convolution-FFT for option pricing in the Heston model","publication_year":2025,"publication_date":"2025-12-05","ids":{"openalex":"https://openalex.org/W4417142497","doi":"https://doi.org/10.48550/arxiv.2512.05326"},"language":null,"primary_location":{"id":"pmh:oai:arXiv.org:2512.05326","is_oa":true,"landing_page_url":"http://arxiv.org/abs/2512.05326","pdf_url":"https://arxiv.org/pdf/2512.05326","source":{"id":"https://openalex.org/S4393918464","display_name":"ArXiv.org","issn_l":"2331-8422","issn":["2331-8422"],"is_oa":true,"is_in_doaj":false,"is_core":false,"host_organization":null,"host_organization_name":null,"host_organization_lineage":[],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"text"},"type":"preprint","indexed_in":["arxiv","datacite"],"open_access":{"is_oa":true,"oa_status":"green","oa_url":"https://arxiv.org/pdf/2512.05326","any_repository_has_fulltext":true},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5102028449","display_name":"Xiang Gao","orcid":"https://orcid.org/0009-0003-0852-5127"},"institutions":[],"countries":[],"is_corresponding":true,"raw_author_name":"Gao, Xiang","raw_affiliation_strings":[],"affiliations":[]},{"author_position":"last","author":{"id":"https://openalex.org/A5001926169","display_name":"Cody Hyndman","orcid":"https://orcid.org/0000-0001-5849-1584"},"institutions":[],"countries":[],"is_corresponding":false,"raw_author_name":"Hyndman, Cody","raw_affiliation_strings":[],"affiliations":[]}],"institutions":[],"countries_distinct_count":0,"institutions_distinct_count":2,"corresponding_author_ids":["https://openalex.org/A5102028449"],"corresponding_institution_ids":[],"apc_list":null,"apc_paid":null,"fwci":null,"has_fulltext":false,"cited_by_count":0,"citation_normalized_percentile":null,"cited_by_percentile_year":null,"biblio":{"volume":null,"issue":null,"first_page":null,"last_page":null},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.8769999742507935,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.8769999742507935,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T12404","display_name":"Mathematical Approximation and Integration","score":0.01899999938905239,"subfield":{"id":"https://openalex.org/subfields/2612","display_name":"Numerical Analysis"},"field":{"id":"https://openalex.org/fields/26","display_name":"Mathematics"},"domain":{"id":"https://openalex.org/domains/3","display_name":"Physical Sciences"}},{"id":"https://openalex.org/T11976","display_name":"Capital Investment and Risk Analysis","score":0.008999999612569809,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/heston-model","display_name":"Heston model","score":0.645799994468689},{"id":"https://openalex.org/keywords/truncation","display_name":"Truncation (statistics)","score":0.5809999704360962},{"id":"https://openalex.org/keywords/convolution","display_name":"Convolution (computer science)","score":0.5734999775886536},{"id":"https://openalex.org/keywords/valuation-of-options","display_name":"Valuation of options","score":0.5637999773025513},{"id":"https://openalex.org/keywords/discretization","display_name":"Discretization","score":0.5516999959945679},{"id":"https://openalex.org/keywords/truncation-error","display_name":"Truncation error","score":0.4652000069618225},{"id":"https://openalex.org/keywords/representation","display_name":"Representation (politics)","score":0.4535999894142151},{"id":"https://openalex.org/keywords/work","display_name":"Work (physics)","score":0.36160001158714294}],"concepts":[{"id":"https://openalex.org/C93045229","wikidata":"https://www.wikidata.org/wiki/Q5746554","display_name":"Heston model","level":5,"score":0.645799994468689},{"id":"https://openalex.org/C106195933","wikidata":"https://www.wikidata.org/wiki/Q7847935","display_name":"Truncation (statistics)","level":2,"score":0.5809999704360962},{"id":"https://openalex.org/C45347329","wikidata":"https://www.wikidata.org/wiki/Q5166604","display_name":"Convolution (computer science)","level":3,"score":0.5734999775886536},{"id":"https://openalex.org/C194483076","wikidata":"https://www.wikidata.org/wiki/Q380382","display_name":"Valuation of options","level":2,"score":0.5637999773025513},{"id":"https://openalex.org/C73000952","wikidata":"https://www.wikidata.org/wiki/Q17007827","display_name":"Discretization","level":2,"score":0.5516999959945679},{"id":"https://openalex.org/C104942944","wikidata":"https://www.wikidata.org/wiki/Q3434686","display_name":"Truncation error","level":2,"score":0.4652000069618225},{"id":"https://openalex.org/C2776359362","wikidata":"https://www.wikidata.org/wiki/Q2145286","display_name":"Representation (politics)","level":3,"score":0.4535999894142151},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.4138000011444092},{"id":"https://openalex.org/C28826006","wikidata":"https://www.wikidata.org/wiki/Q33521","display_name":"Applied mathematics","level":1,"score":0.4050000011920929},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.3840000033378601},{"id":"https://openalex.org/C18762648","wikidata":"https://www.wikidata.org/wiki/Q42213","display_name":"Work (physics)","level":2,"score":0.36160001158714294},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.3546999990940094},{"id":"https://openalex.org/C126255220","wikidata":"https://www.wikidata.org/wiki/Q141495","display_name":"Mathematical optimization","level":1,"score":0.3529999852180481},{"id":"https://openalex.org/C106306483","wikidata":"https://www.wikidata.org/wiki/Q183984","display_name":"Futures contract","level":2,"score":0.31949999928474426},{"id":"https://openalex.org/C19619285","wikidata":"https://www.wikidata.org/wiki/Q196372","display_name":"Observational error","level":2,"score":0.3131999969482422},{"id":"https://openalex.org/C187691185","wikidata":"https://www.wikidata.org/wiki/Q2020720","display_name":"Grid","level":2,"score":0.30160000920295715},{"id":"https://openalex.org/C126148662","wikidata":"https://www.wikidata.org/wiki/Q3890355","display_name":"Discretization error","level":3,"score":0.29910001158714294},{"id":"https://openalex.org/C156439662","wikidata":"https://www.wikidata.org/wiki/Q7573793","display_name":"Sparse grid","level":2,"score":0.2969000041484833},{"id":"https://openalex.org/C202615002","wikidata":"https://www.wikidata.org/wiki/Q783507","display_name":"Differentiable function","level":2,"score":0.2879999876022339},{"id":"https://openalex.org/C179024874","wikidata":"https://www.wikidata.org/wiki/Q5395728","display_name":"Errors-in-variables models","level":2,"score":0.2721000015735626},{"id":"https://openalex.org/C48753275","wikidata":"https://www.wikidata.org/wiki/Q11216","display_name":"Numerical analysis","level":2,"score":0.26750001311302185},{"id":"https://openalex.org/C61797465","wikidata":"https://www.wikidata.org/wiki/Q1188986","display_name":"Term (time)","level":2,"score":0.26190000772476196},{"id":"https://openalex.org/C163128081","wikidata":"https://www.wikidata.org/wiki/Q1338307","display_name":"Black\u2013Scholes model","level":3,"score":0.2547000050544739},{"id":"https://openalex.org/C18555067","wikidata":"https://www.wikidata.org/wiki/Q8375051","display_name":"Joint (building)","level":2,"score":0.250900000333786}],"mesh":[],"locations_count":2,"locations":[{"id":"pmh:oai:arXiv.org:2512.05326","is_oa":true,"landing_page_url":"http://arxiv.org/abs/2512.05326","pdf_url":"https://arxiv.org/pdf/2512.05326","source":{"id":"https://openalex.org/S4393918464","display_name":"ArXiv.org","issn_l":"2331-8422","issn":["2331-8422"],"is_oa":true,"is_in_doaj":false,"is_core":false,"host_organization":null,"host_organization_name":null,"host_organization_lineage":[],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"text"},{"id":"doi:10.48550/arxiv.2512.05326","is_oa":true,"landing_page_url":"https://doi.org/10.48550/arxiv.2512.05326","pdf_url":null,"source":{"id":"https://openalex.org/S4306400194","display_name":"arXiv (Cornell University)","issn_l":null,"issn":null,"is_oa":true,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I205783295","host_organization_name":"Cornell University","host_organization_lineage":["https://openalex.org/I205783295"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":null,"is_accepted":false,"is_published":null,"raw_source_name":null,"raw_type":"article"}],"best_oa_location":{"id":"pmh:oai:arXiv.org:2512.05326","is_oa":true,"landing_page_url":"http://arxiv.org/abs/2512.05326","pdf_url":"https://arxiv.org/pdf/2512.05326","source":{"id":"https://openalex.org/S4393918464","display_name":"ArXiv.org","issn_l":"2331-8422","issn":["2331-8422"],"is_oa":true,"is_in_doaj":false,"is_core":false,"host_organization":null,"host_organization_name":null,"host_organization_lineage":[],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"text"},"sustainable_development_goals":[],"awards":[],"funders":[],"has_content":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":0,"referenced_works":[],"related_works":[],"abstract_inverted_index":{"We":[0],"propose":[1],"a":[2,15,41],"convolution-FFT":[3],"method":[4,94],"for":[5,90],"pricing":[6,111],"European":[7],"options":[8],"under":[9,45],"the":[10,20,73,80,97,103],"Heston":[11,98],"model":[12,67],"that":[13,28,56],"leverages":[14],"continuously":[16],"differentiable":[17],"representation":[18],"of":[19,66,75],"joint":[21],"characteristic":[22],"function.":[23],"Unlike":[24],"existing":[25],"Fourier-based":[26],"methods":[27],"rely":[29],"on":[30],"branch-cut":[31],"adjustments":[32],"or":[33],"empirically":[34],"tuned":[35],"damping":[36],"parameters,":[37],"our":[38,76],"approach":[39],"yields":[40],"stable":[42],"integrand":[43],"even":[44],"large":[46],"frequency":[47],"oscillations.":[48],"Crucially,":[49],"we":[50],"derive":[51],"fully":[52],"analytical":[53],"error":[54,60,63,88],"bounds":[55],"quantify":[57],"both":[58],"truncation":[59],"and":[61,69,106],"discretization":[62],"in":[64],"terms":[65],"parameters":[68],"grid":[70],"settings.":[71],"To":[72],"best":[74],"knowledge,":[77],"this":[78],"is":[79],"first":[81],"work":[82],"to":[83,96],"provide":[84],"such":[85],"explicit,":[86],"closed-form":[87],"estimates":[89],"an":[91],"FFT-based":[92],"convolution":[93],"specialized":[95],"model.":[99],"Numerical":[100],"experiments":[101],"confirm":[102],"theoretical":[104],"rates":[105],"illustrate":[107],"robust,":[108],"high-accuracy":[109],"option":[110],"at":[112],"modest":[113],"computational":[114],"cost.":[115]},"counts_by_year":[],"updated_date":"2026-03-07T16:01:11.037858","created_date":"2025-12-09T00:00:00"}
