Option Pricing under Stochastic Volatility and Jumps: A PIDE Framework with Empirical Evidence

By Abigail Anokyewaa Mensah, Ayush Jha, Hongwei Mei, Rui Wang, Svetlozar T. Rachev, Frank J. Fabozzi

Published 2026-05-28

Everscope rating

1537.1

Relevance to quantitative trading

8 / 10

Implementation complexity

8 / 10

Reproducibility

3 / 5

About this paper

Methodology: PIDE-based Stochastic Volatility Jump-Diffusion Pricing Framework. Problem types: Option Pricing, Risk Management, Derivatives Valuation, Model Calibration, Numerical PDE/PIDE Solving, Implied Volatility Surface Fitting.

arXiv:2605.30562 · Paper rankings

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