Pith Number

pith:X6KSKWCJ

pith:2026:X6KSKWCJAI5SULRACRSBYDLC7T

not attested not anchored not stored refs resolved

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

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

A structural equity model generates implied volatility surfaces to price synthetic American options without market calibration.

arxiv:2605.13998 v1 · 2026-05-13 · q-fin.CP · cs.LG

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\pithnumber{X6KSKWCJAI5SULRACRSBYDLC7T}

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4 Citations open

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The bundle contains the canonical record plus signed events. A mirror can host it anywhere and recompute the same current state with the deterministic merge algorithm.

Claims

C1strongest claim

We break this circularity with a pipeline in which implied volatility emerges as an output of a structural model of equity returns.

C2weakest assumption

The modified Heston variance process with regime-, expiration-, moneyness-, and mood-dependent mean-reversion target, when initialized at that target, produces realistic implied volatility surfaces that generalize beyond the calibration data.

C3one line summary

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.

References

21 extracted · 21 resolved · 1 Pith anchors

[1] The Review of Financial Studies , volume= 1993

[2] Journal of Financial Economics , volume= 1979

[3] arXiv preprint arXiv:2603.10202 , year=

[4] Simple and efficient simulation of the 2008

[5] A parsimonious arbitrage-free implied volatility parameterization with application to the valuation of volatility derivatives , author=

Formal links

2 machine-checked theorem links

Receipt and verification

First computed	2026-05-17T23:39:13.181291Z
Builder	pith-number-builder-2026-05-17-v1
Signature	Pith Ed25519 (`pith-v1-2026-05`) · public key
Schema	pith-number/v1.0

Canonical hash

bf95255849023b2a2e2014641c0d62fcdfbf958c8c135ba5f418ac03ffe70f1b

Aliases

arxiv: 2605.13998 · arxiv_version: 2605.13998v1 · doi: 10.48550/arxiv.2605.13998 · pith_short_12: X6KSKWCJAI5S · pith_short_16: X6KSKWCJAI5SULRA · pith_short_8: X6KSKWCJ

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Verify this Pith Number yourself

curl -sH 'Accept: application/ld+json' https://pith.science/pith/X6KSKWCJAI5SULRACRSBYDLC7T \
  | jq -c '.canonical_record' \
  | python3 -c "import sys,json,hashlib; b=json.dumps(json.loads(sys.stdin.read()), sort_keys=True, separators=(',',':'), ensure_ascii=False).encode(); print(hashlib.sha256(b).hexdigest())"
# expect: bf95255849023b2a2e2014641c0d62fcdfbf958c8c135ba5f418ac03ffe70f1b

Canonical record JSON

{
  "metadata": {
    "abstract_canon_sha256": "0bbd57bac3ab518244d1c07d33a67fb25d4e7d20a25654b5dbc2c2b350f0d74f",
    "cross_cats_sorted": [
      "cs.LG"
    ],
    "license": "http://creativecommons.org/licenses/by/4.0/",
    "primary_cat": "q-fin.CP",
    "submitted_at": "2026-05-13T18:07:14Z",
    "title_canon_sha256": "75dc394508407ce768b212d847554a74a1d87d4c27147a13c4203bd1cd2e8c60"
  },
  "schema_version": "1.0",
  "source": {
    "id": "2605.13998",
    "kind": "arxiv",
    "version": 1
  }
}