4 papers
A semi-Markovian approach to model the tick-by-tick dynamics of stock price
Garima Agrawal, Anindya Goswami
We model the stock price dynamics through a semi-Markov process obtained using a Poisson random measure. We establish the existence and uniqueness of the classical solution of a no…
Data-Driven Option Pricing using Single and Multi-Asset Supervised Learning
Anindya Goswami, Sharan Rajani, Atharva Tanksale
We propose three different data-driven approaches for pricing European-style call options using supervised machine-learning algorithms. These approaches yield models that give a ra…
Option Pricing in a Regime Switching Jump Diffusion Model
Anindya Goswami, Omkar Manjarekar, Anjana R
This paper presents the solution to a European option pricing problem by considering a regime-switching jump diffusion model of the underlying financial asset price dynamics. The r…
Testing of Binary Regime Switching Models using Squeeze Duration Analysis
Milan Kumar Das, Anindya Goswami
We have developed a statistical technique to test the model assumption of binary regime switching extension of the geometric Brownian motion (GBM) model by proposing a new discrimi…