1 citations · 1 across the 2 of their papers we have counts for
2 papers
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…
q-fin.MF2020★ 1 cited
Hedging and machine learning driven crude oil data analysis using a refined Barndorff-Nielsen and Shephard model
Humayra Shoshi, Indranil SenGupta
In this paper, a refined Barndorff-Nielsen and Shephard (BN-S) model is implemented to find an optimal hedging strategy for commodity markets. The refinement of the BN-S model is o…