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Sarath Kumar Jayaraman

University of Calgary - Department of Mathematics and Statistics

University of Calgary

Calgary, Alberta

Canada

  • University of Calgary - Department of Mathematics and Statistics

SCHOLARLY PAPERS

4

DOWNLOADS

566

TOTAL CITATIONS

13

Scholarly Papers (4)

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1.

Valuation of VIX and Target Volatility Options with Affine GARCH Models

Number of pages: 45 Posted: 13 Aug 2020
Hongkai Cao, Alexandru Badescu, Zhenyu Cui and Sarath Kumar Jayaraman
Stevens Institute of Technology - School of Business, University of Calgary, Stevens Institute of Technology - School of Business and University of Calgary - Department of Mathematics and Statistics
Downloads 209 (366,366)
Citation 12

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VIX Options, Target Volatility Options, Heston-Nandi GARCH Model, Inverse Gaussian Model, Joint Calibration

2.

Long memory in option pricing: A fractional discrete-time approach

Number of pages: 72 Posted: 18 May 2022 Last Revised: 24 Sep 2024
Maciej Augustyniak, Alexandru Badescu, Jean-François Bégin and Sarath Kumar Jayaraman
University of Montreal - Department of Mathematics and Statistics, University of Calgary, Simon Fraser University and University of Calgary - Department of Mathematics and Statistics
Downloads 175 (444,808)

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Fractional affine models, ARCH(∞) representations, Volatility components, Variance-dependent pricing kernels, Joint estimation

3.

On the relation between discrete and continuous-time affine option pricing models

Number of pages: 54 Posted: 30 Apr 2024 Last Revised: 04 May 2026
Maciej Augustyniak, Alexandru Badescu, Jean-François Bégin and Sarath Kumar Jayaraman
University of Montreal - Department of Mathematics and Statistics, University of Calgary, Simon Fraser University and University of Calgary - Department of Mathematics and Statistics
Downloads 160 (497,070)

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Affine models, multi-component volatility, non-Gaussian distribution, weak diffusion limits, non-monotonic pricing kernel

4.

On the Relation between Discrete and Continuous-Time Affine Option Pricing Models

Number of pages: 46 Posted: 07 May 2024
Maciej Augustyniak, Alexandru Badescu, Jean-François Bégin and Sarath Kumar Jayaraman
University of Montreal, affiliation not provided to SSRN, Simon Fraser University and University of Calgary - Department of Mathematics and Statistics
Downloads 22 (1,436,435)
Citation 1

Abstract:

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Affine models, multi-component volatility, non-Gaussian distribution, weak diffusion limits, non-monotonic pricing kernel