4 papers
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…
Comparative Study of Two Extensions of Heston Stochastic Volatility Model
Gifty Malhotra, R. Srivastava, H. C. Taneja
In the option valuation literature, the shortcomings of one factor stochastic volatility models have traditionally been addressed by adding jumps to the stock price process. An alt…
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…
A note on characterization based on past entropy
Richa Thapliyal, H. C. Taneja
Ebrahimi (1996) has shown that the measure of residual entropy characterizes the distribution function uniquely. In this communication we study an analogous result for past entropy…