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q-fin.CP2026
DSINC beyond Heston: the 3/2 and other non-affine stochastic-volatility models
Andrey Itkin
This paper extends the damped-sinc (DSINC) method for American options beyond the affine Heston class to general one-factor stochastic-volatility models. We show that the collapse…
q-fin.CP2026
Valuing American options and Flexible Forwards contracts in time-dependent models
Leif Andersen, Andrey Itkin, Rakhymzhan Kazbek
A flexible forward (FF) is a customized FX hedging instrument that guarantees a fixed exchange rate while letting the holder choose the delivery date within a pre-agreed window. It…