Puneet Pasricha

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Publications (22)

• Structural credit risk models with stochastic default barriers and jump clustering using Hawkes jump-diffusion processes
  OPSEARCH 2024 DOI: 10.1007/s12597-024-00830-9
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• Analytically pricing European options in dynamic markets: Incorporating liquidity variations and economic cycles
  Economic Modelling 2024 DOI: 10.1016/j.econmod.2024.106839
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• A simple European option pricing formula with a skew Brownian motion
  Probability in the Engineering and Informational Sciences 2023 DOI: 10.1017/s0269964822000407
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• Exchange options with stochastic liquidity risk
  Expert Systems with Applications 2023 DOI: 10.1016/j.eswa.2023.119915
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• A closed-form pricing formula for European options in an illiquid asset market
  Financial Innovation 2022 DOI: 10.1186/s40854-022-00337-6
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• Skew-Brownian motion and pricing European exchange options
  International Review of Financial Analysis 2022 DOI: 10.1016/j.irfa.2022.102120
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• A closed-form pricing formula for European options with market liquidity risk
  Expert Systems with Applications 2022 DOI: 10.1016/j.eswa.2021.116128
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• A contagion process with self-exciting jumps in credit risk applications
  Stochastics 2022 DOI: 10.1080/17442508.2022.2041641
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• A closed-form pricing formula for catastrophe equity options
  Probability in the Engineering and Informational Sciences 2021 DOI: 10.1017/s0269964821000279
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• Pricing power exchange options with hawkes jump diffusion processes
  Journal of Industrial & Management Optimization 2021 DOI: 10.3934/jimo.2019103
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