2 papers
q-fin.CP2026
Synthetic American Option Pricing via Jump-HMM-Driven Heston Implied Volatility
Julia Sun, Zheyu Jin, Jiawei Zhang +1
Valuing American options along simulated stock paths requires an implied volatility (IV) for every option on every date. A stock-return model alone does not provide it. We built a…
math.PR2015
Multivariate Subexponential Distributions and Their Applications
Gennady Samorodnitsky, Julian Sun
We propose a new definition of a multivariate subexponential distribution. We compare this definition with the two existing notions of multivariate subexponentiality, and compute t…