Spectral Valuation of Compound Exchange Options under Stochastic Volatility
Unreviewed draft. This paper has not been human-reviewed.
Mathematical claims may be unverified. Use with appropriate caution.
Length
363 words
Status
draft
Novelty
Applies spectral/latent-factor conditioning to reduce the intractable 2D ComEx pricing problem under Heston to a sequence of 1D conditional valuations, bypassing the broken affine Riccati structure.