3 papers
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.MF2019
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…
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…