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q-fin.PR2025
Semi-analytical pricing of American options with hybrid dividends via integral equations and the GIT method
Andrey Itkin
This paper introduces a semi-analytical method for pricing American options on assets (stocks, ETFs) that pay discrete and/or continuous dividends. The problem is notoriously compl…
q-fin.PR2025
American options valuation in time-dependent jump-diffusion models via integral equations and characteristic functions
Andrey Itkin
Despite significant advancements in machine learning for derivative pricing, the efficient and accurate valuation of American options remains a persistent challenge due to complex…