2 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.MF2020
First exit-time analysis for an approximate Barndorff-Nielsen and Shephard model with stationary self-decomposable variance process
Shantanu Awasthi, Indranil SenGupta
In this paper, an approximate version of the Barndorff-Nielsen and Shephard model, driven by a Brownian motion and a Lévy subordinator, is formulated. The first-exit time of the lo…