18 citations · 20 across the 4 of their papers we have counts for
4 papers
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…
Pricing Generalized Dispersion Swap for Multi-Asset Stochastic Volatility Models
Semere Gebresilassie, Mulue Gebreslasie, Minglian Lin
This paper develops a generalized variance framework for pricing multi-asset dispersion swap based on the determinant of the instantaneous covariance matrix of asset log-returns. T…
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…
Analysis of optimal portfolio on finite and small time horizons for a stochastic volatility market model
Minglian Lin, Indranil SenGupta
In this paper, we consider the portfolio optimization problem in a financial market under a general utility function. Empirical results suggest that if a significant market fluctua…