3 papers
q-fin.MF2026
Enhancing the Black-Scholes Model for Option Valuation via Lévy Processes and Malliavin Calculus
Shantanu Awasthi, Minglian Lin, Blair Faber +2
The Black-Scholes model has been extensively used for option pricing, but exhibits limitations in its reliance on geometric Brownian motion and fixed volatility assumptions. This p…
q-fin.MF2026
Pricing Variance Swap for Multi-Asset Stochastic Volatility Models
Semere Gebresilassie, Mulue Gebreslasie, Minglian Lin
This paper develops a novel framework for modeling variance swap of multi-asset stochastic volatility models by employing determinant-based instantaneous generalized variance. In t…
q-fin.MF2024
Estimation of VaR with jump process: application in corn and soybean markets
Minglian Lin, Indranil SenGupta, William Wilson
Value at Risk (VaR) is a quantitative measure used to evaluate the risk linked to the potential loss of investment or capital. Estimation of the VaR entails the quantification of p…