23 citations · 38 across the 3 of their papers we have counts for
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…
stat.ME2020★ 23 cited
Sequential hypothesis testing in machine learning, and crude oil price jump size detection
Michael Roberts, Indranil SenGupta
In this paper we present a sequential hypothesis test for the detection of general jump size distrubution. Infinitesimal generators for the corresponding log-likelihood ratios are…
math.ST2019★ 15 cited
Infinitesimal generators for two-dimensional Lévy process-driven hypothesis testing
Michael Roberts, Indranil SenGupta
In this paper, we present the testing of four hypotheses on two streams of observations that are driven by Lévy processes. This is applicable for sequential decision making on the…