Non-spanning expiries identify the no-event volatility surface while event-spanning quotes calibrate deterministic-time jumps, yielding better held-out pricing for SPX options around macro events than surface-absorbing or amortized alternatives.
Prices of state-contingent claims implicit in option prices
3 Pith papers cite this work, alongside 455 external citations. Polarity classification is still indexing.
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Price-accurate option models can still miss the latent risk-neutral density; mixture priors win aggregate recovery, and learned operators help only on selected tails and Merton misspecification.
Operational-time lattice derivations produce BSM, local-volatility, jump, and fractional option-pricing equations as different scaling/clock limits of a single nearest-neighbour Markov kernel.
citing papers explorer
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Non-Spanning Identification of Scheduled Event Risk in Option Pricing
Non-spanning expiries identify the no-event volatility surface while event-spanning quotes calibrate deterministic-time jumps, yielding better held-out pricing for SPX options around macro events than surface-absorbing or amortized alternatives.
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Inverse Learning of Latent Risk-Neutral Densities from Irregular Option Quotes
Price-accurate option models can still miss the latent risk-neutral density; mixture priors win aggregate recovery, and learned operators help only on selected tails and Merton misspecification.
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Option prices from operational-time reaction-boundary lattices
Operational-time lattice derivations produce BSM, local-volatility, jump, and fractional option-pricing equations as different scaling/clock limits of a single nearest-neighbour Markov kernel.