Synthetic American Option Pricing via Jump-HMM-Driven Heston Implied Volatility

By Julia Sun, Zheyu Jin, Jiawei Zhang, Jeffrey D. Varner

Published 2026-05-13

Everscope rating

1405.2

Relevance to quantitative trading

9 / 10

Implementation complexity

8 / 10

Reproducibility

4 / 5

About this paper

Methodology: Jump-HMM-Driven Heston Implied Volatility Pipeline. Problem types: Generative Modeling, Regression, Risk Management, Optimization, Density Estimation.

arXiv:2605.13998 · Code · Paper rankings

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