{"paper":{"title":"Option Pricing under Stochastic Volatility and Jumps:A PIDE Framework with Empirical Evidence","license":"http://creativecommons.org/licenses/by/4.0/","headline":"","cross_cats":["econ.EM","q-fin.MF"],"primary_cat":"q-fin.PR","authors_text":"Abigail Anokyewaa Mensah, Ayush Jha, Frank J. Fabozzi, Hongwei Mei, Rui Wang, Svetlozar T. Rachev","submitted_at":"2026-05-28T20:49:17Z","abstract_excerpt":"We develop a partial integro-differential equation (PIDE) framework for option pricing under joint stochastic volatility and jump dynamics, and evaluate its empirical content using the S&P500 index option contracts across three maturities. The framework is derived from the infinitesimal generator of an affine L\\'evy-type process and implemented via finite-difference discretization with FFT-based treatment of the nonlocal jump operator. Calibration via GMM reveals that stochastic volatility accounts for the dominant share of pricing improvement, where relative to Black-Scholes, the Heston speci"},"claims":{"count":0,"items":[],"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"source":{"id":"2605.30562","kind":"arxiv","version":1},"verdict":{"id":null,"model_set":{},"created_at":null,"strongest_claim":"","one_line_summary":"","pipeline_version":null,"weakest_assumption":"","pith_extraction_headline":""},"integrity":{"clean":true,"summary":{"advisory":0,"critical":0,"by_detector":{},"informational":0},"endpoint":"/pith/2605.30562/integrity.json","findings":[],"available":true,"detectors_run":[],"snapshot_sha256":"c28c3603d3b5d939e8dc4c7e95fa8dfce3d595e45f758748cecf8e644a296938"},"references":{"count":0,"sample":[],"resolved_work":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57","internal_anchors":0},"formal_canon":{"evidence_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"author_claims":{"count":0,"strong_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"builder_version":"pith-number-builder-2026-05-17-v1"}