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q-fin.MF2025
Call Option Price using Pearson Diffusion Processes
Tapan Kar, Suprio Bhar, Barun Sarkar +1
Following the foundational work of the Black--Scholes model, extensive research has been developed to price the option by addressing its underlying assumptions and associated prici…
math.PR2025
Self-normalized scaled quadratic variation
Suprio Bhar, Purba Das, Barun Sarkar
The concept of a scaled quadratic variation was originally introduced by E. Gladyshev in 1961 for processes with Gaussian increments. Using certain deterministic scaling, arrived a…