Synthetic American Option Pricing via Jump-HMM-Driven Heston Implied Volatility

arXiv:2605.13998 · q-fin.CP, cs.LG · Submitted 2026-05-13 · Read on arXiv

q-fin.CP, cs.LG

Submitted: 2026-05-13

Updated: 2026-09-28

Terminology

• American Option Pricing — 1× in this paper · explained in 1 episode
• Calibration — 1× in this paper · explained in 7 episodes
• Generalization — 1× in this paper · explained in 13 episodes
• Robustness — 1× in this paper · explained in 5 episodes

Sources

• Variance-Corrected Multi-Asset Equity Simulation with Hybrid Hidden Markov Marginals
• Deep calibration of rough stochastic volatility models

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