3 papers
q-fin.CP2026
A Fast Implied Volatility Method with Expansions
Alper Hekimoglu, Ismail Hakki Gokgoz
We present a regime-split Black--Scholes implied volatility solver in which every initial seed is a fully closed-form analytical expression, derived from the asymptotic structure o…
math.PR2025
On the Exact Distribution of the Sum of Two CIR Processes
Bilgi Yilmaz, Alper Hekimoglu
This paper derives the exact transition density and cumulative distribution function of a linear combination of two independent Cox-Ingersoll-Ross (CIR) processes. By combining the…
math.PR2025
On the fully analytical cumulative distribution of product of correlated Gaussian random Variables with zero means
Erdinc Akyildirim, Alper Hekimoglu
We derive a fully analytical, one-line closed-form expression for the cumulative distribution function (CDF) of the product of two correlated zero-mean normal random variables, avo…