Search Results - "Shoshi, Humayra"

Some asymptotics for short maturity Asian options by Shoshi, Humayra, SenGupta, Indranil

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Data-Science-Driven Refinements of Stochastic Models with Applications in Oil Data, Short Maturity Asian Options, and Yield Prediction by Shoshi, Humayra Ferdous

“…In this dissertation, at first, we present a refined Barndorff-Nielsen and Shephard (BN-S) model which is implemented to find an optimal hedging strategy for…”
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Some asymptotics for short maturity Asian options by Shoshi, Humayra, SenGupta, Indranil

“…Stochastic Models, 2024 Most of the existing methods for pricing Asian options are less efficient in the limit of small maturities and small volatilities. In…”
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Hedging and machine learning driven crude oil data analysis using a refined Barndorff-Nielsen and Shephard model by Shoshi, Humayra, SenGupta, Indranil

“…International Journal of Financial Engineering, 2021 In this paper, a refined Barndorff-Nielsen and Shephard (BN-S) model is implemented to find an optimal…”
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