AI RESEARCH
Synthetic American Option Pricing via Jump-HMM-Driven Heston Implied Volatility
arXiv CS.LG
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ArXi:2605.13998v1 Announce Type: cross Generating realistic synthetic option prices requires implied volatility as an input, yet implied volatility is itself derived from observed option prices, creating a circular dependency that limits synthetic data for machine-learning and risk-analysis applications. We break this circularity with a pipeline in which implied volatility emerges as an output of a structural model of equity returns.