{
  "abstract": "This paper extends the damped-sinc (DSINC) method for American options beyond the affine Heston class to general one-factor stochastic-volatility models. We show that the collapse identity, which reduces the early-exercise integral to a single spectral integral, remains valid for these models. Damping between zero and one is admissible whenever the discounted spot is a nonnegative local martingale. An Itô transformation of the volatility factorizes the conditional characteristic function and identifies a natural coordinate for approximating the exercise boundary. The 3/2 model admits closed-form joint transforms in terms of Kummer functions, while uncorrelated SABR admits a Bessel representation. When a practical closed-form transform is unavailable, the required volatility integral is computed directly by solving one backward equation per frequency, without a grid in the log-price. Through a known change of volatility coordinate, this approach also accommodates correlated SABR. Tests on the 3/2, SABR, GARCH and lognormal-volatility models show agreement with fine finite-difference benchmarks to within one basis point of the strike. Computational cost is comparable to or lower than that of our finite-difference implementation, except for the slower Hankel implementation of uncorrelated SABR.",
  "abstract_shown": true,
  "affiliations": [],
  "article_type": null,
  "arxiv": "2610.28847",
  "author_total": 1,
  "authors": [
    {
      "name": "Andrey Itkin"
    }
  ],
  "bibtex": "https://research.draconitic.com/paper/d0ktdbktnfc1s.bib",
  "cited_by": 0,
  "doi": "10.48550/arxiv.2610.28847",
  "fulltext_url": null,
  "id": "d0ktdbktnfc1s",
  "issns": [],
  "landing_url": "https://arxiv.org/abs/2610.28847",
  "language": null,
  "licence": "LicenseRef-arXiv-nonexclusive-1.0",
  "licence_label": "arXiv licence",
  "licence_source": "article",
  "licence_url": "http://arxiv.org/licenses/nonexclusive-distrib/1.0/",
  "metadata_licence": "CC0-1.0",
  "native_subjects": [
    [
      "arxiv",
      "cs.NA"
    ],
    [
      "arxiv",
      "math.NA"
    ],
    [
      "arxiv",
      "q-fin.CP"
    ],
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      "arxiv",
      "q-fin.MF"
    ],
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      "arxiv",
      "q-fin.PR"
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    [
      "openalex",
      "2003|Stochastic processes and financial applications"
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  "openalex": "W7223234810",
  "pdf_url": "https://arxiv.org/pdf/2610.28847",
  "pmcid": null,
  "pmid": null,
  "published": "2026-10-20",
  "publisher": null,
  "ris": "https://research.draconitic.com/paper/d0ktdbktnfc1s.ris",
  "sources": [
    {
      "first_seen": "2026-10-30T12:34:22Z",
      "native_id": "2610.28847",
      "source": "arxiv",
      "url": "https://arxiv.org/abs/2610.28847"
    }
  ],
  "subjects": [
    {
      "field": "mathematics",
      "origin": "arxiv:math.NA",
      "subfield": "numerical-analysis"
    }
  ],
  "title": "DSINC beyond Heston: the 3/2 and other non-affine stochastic-volatility models",
  "title_text": "DSINC beyond Heston: the 3/2 and other non-affine stochastic-volatility models",
  "type": "preprint",
  "updated_at": "2026-10-30T12:34:22Z",
  "url": "https://research.draconitic.com/paper/d0ktdbktnfc1s",
  "venue": "arXiv",
  "versions": []
}