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q-fin.PR2019
Pricing of the Geometric Asian Options Under a Multifactor Stochastic Volatility Model
Gifty Malhotra, R. Srivastava, H. C. Taneja
This paper focuses on the pricing of continuous geometric Asian options (GAOs) under a multifactor stochastic volatility model. The model considers fast and slow mean reverting fac…
q-fin.PR2017
Quadratic approximation of slow factor of volatility in a Multi-factor Stochastic volatility Model
Gifty Malhotra, R. Srivastava, H. C. Taneja
In the present work, we propose a new multifactor stochastic volatility model in which slow factor of volatility is approximated by a parabolic arc. We retain ourselves to the pert…