A Jump-HMM-driven modified Heston model generates synthetic implied volatility surfaces and American option prices directly from simulated equity return paths, breaking the circular dependency on market-derived volatility.
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Extends rough fractional stochastic volatility to a multivariate fOU model with GMM estimation, simulation validation, and empirical analysis of realized volatility series showing correlations and spillover effects.
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Synthetic American Option Pricing via Jump-HMM-Driven Heston Implied Volatility
A Jump-HMM-driven modified Heston model generates synthetic implied volatility surfaces and American option prices directly from simulated equity return paths, breaking the circular dependency on market-derived volatility.