Semi-analytical pricing of American options with hybrid dividends via integral equations and the GIT method

By Andrey Itkin

Published 2026-01-06

Everscope rating

1776.4

Relevance to quantitative trading

8 / 10

Implementation complexity

8 / 10

Reproducibility

4 / 5

About this paper

Methodology: Generalized Integral Transform (GIT) Method with Volterra Integral Equations. Problem types: Option Pricing, Optimal Stopping / Free Boundary Problem, Numerical PDE Solution via Integral Equations, Risk Management, Calibration / De-Americanization, Local Volatility Recovery.

arXiv:2510.18159 · Code · Paper rankings

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