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q-fin.CP2026
Calibrating Inelastic Markets to Options: The Lean Marketron and the Generalized Langevin Equation
Andrey Itkin
The Marketron model of \cite{HalperinItkin2025Mark} and its option pricing extension in \cite{HalperinItkinMarketron2} suffer from structural non-identifiability: an eighteen-param…
q-fin.CP2024
Semi-analytical pricing of options written on SOFR futures
Andrey Itkin, Yerkin Kitapbayev
In this paper, we propose a semi-analytical approach to pricing options on SOFR futures where the underlying SOFR follows a time-dependent CEV model. By definition, these options c…
q-fin.CP2023
The ATM implied skew in the ADO-Heston model
Andrey Itkin
In this paper similar to [P. Carr, A. Itkin, 2019] we construct another Markovian approximation of the rough Heston-like volatility model - the ADO-Heston model. The characteristic…