Kaushik I. Amin

Overview

Kaushik I. Amin is a financial economist affiliated with the University of Michigan (School of Business Administration). His research focuses on option pricing under stochastic volatility and stochastic interest rates in discrete-time equilibrium settings.

Key Contributions / Features

• Amin and Ng (1993) — "Option Valuation with Systematic Stochastic Volatility": extends Rubinstein (1976)/Brennan (1979) CPRA equilibrium framework to systematic stochastic volatility; Proposition 2 yields a preference-free expected Black-Scholes formula when volatility is predictable; variance decomposition $h_{s,t}=\beta^2 h_{c,t}+h_{d,t}$; endogenous interest rates $r_t = -\ln\rho + b\mu_{c,t+1} - \tfrac{1}{2}b(1+b)h_{c,t+1}$; systematic jump formula; Journal of Finance 48(3): 881–910.
• Amin and Jarrow (1992) — "Pricing Options on Risky Assets in a Stochastic Interest Rate Economy": Mathematical Finance 2: 217–237.

Related

• Stochastic Volatility
• Black-Scholes Option Pricing
• Victor K. Ng
• Mark Rubinstein
• Amin-Ng (1993)