27 citations · 119 across the 13 of their papers we have counts for
Showing 2023Show all
2 papers · 1 filter
q-fin.MF2023★ 1 cited
Analysis of optimal portfolio on finite and small-time horizons for a stochastic volatility model with multiple correlated assets
Minglian Lin, Indranil SenGupta
In this paper, we consider the portfolio optimization problem in a financial market where the underlying stochastic volatility model is driven by n-dimensional Brownian motions. At…
q-fin.PR2023
Some asymptotics for short maturity Asian options
Humayra Shoshi, Indranil SenGupta
Most of the existing methods for pricing Asian options are less efficient in the limit of small maturities and small volatilities. In this paper, we use the large deviations theory…