2 papers
q-fin.MF2026
Asian option valuation under price impact
Priyanshu Tiwari, Sourav Majumdar
We develop a tractable framework for valuing Asian options when trading the underlying generates market impact and execution costs. Starting from a discrete-time, quote-level model…
math.ST2026
Diffusion on the circle and a stochastic correlation model
Sourav Majumdar, Arnab Kumar Laha
We develop diffusion models for time-varying correlation using stochastic processes defined on the unit circle. Specifically, we study Brownian motion on the circle and the von Mis…