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Ashish Jain
Researcher at Columbia University
Publications - 10
Citations - 400
Ashish Jain is an academic researcher from Columbia University. The author has contributed to research in topics: Variance swap & Volatility swap. The author has an hindex of 7, co-authored 10 publications receiving 381 citations. Previous affiliations of Ashish Jain include Lehman Brothers.
Papers
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Journal ArticleDOI
The effect of jumps and discrete sampling on volatility and variance swaps
Mark Broadie,Ashish Jain +1 more
TL;DR: In this article, the effect of discrete sampling and asset price jumps on fair variance and volatility swap strikes is investigated in different models of the underlying evolution of the asset price: the Black-Scholes model, the Heston stochastic volatility model, and the Merton jump-diffusion model.
Journal ArticleDOI
Pricing and Hedging Volatility Derivatives
Mark Broadie,Ashish Jain +1 more
TL;DR: In this article, the authors developed full pricing and risk management models for these instruments in the context of a Heston square root stochastic volatility model, including expressions for all of the standard Greek letters and a couple of new ones for the parameters of the volatility process.
Posted Content
The Inter-Temporal Exercise and Valuation of Employee Options
Ajay Subramanian,Ashish Jain +1 more
TL;DR: In this paper, a multi-period model is proposed to value employee options allowing for the possibility that a risk-averse employee strategically exercises her options over time rather than at a single date.
Journal ArticleDOI
The Intertemporal Exercise and Valuation of Employee Options
Ashish Jain,Ajay Subramanian +1 more
TL;DR: In this article, a multi-period model is proposed to value employee options allowing for the possibility that a risk-averse employee strategically exercises her options over time rather than at a single date.
Posted Content
The Effect of Jumps and Discrete Sampling on Volatility and Variance Swaps
Mark Broadie,Ashish Jain +1 more
TL;DR: In this paper, the effect of discrete sampling and asset price jumps on fair variance and volatility swap strikes is investigated in different models of the underlying evolution of the asset price: the Black-Scholes model, the Heston stochastic volatility model, and the Merton jump-diffusion model.