Innovative Extensions to Option Pricing: Asymmetric Brownian Motion and Random Walk Approaches

By Jagdish Gnawali, Abootaleb Shirvani, Dilmi C.W. Hettiachchi-Halpe-Kankanamalage, W. Brent Lindquist, Svetlozar T. Rachev, Frank J. Fabozzi

Published 2026-06-21

Everscope rating

1463.5

Relevance to quantitative trading

8 / 10

Implementation complexity

7 / 10

Reproducibility

3 / 5

About this paper

Methodology: Geometric Asymmetric Brownian Motion (GABM) via Cherny–Shiryaev–Yor Invariance Principle. Problem types: Option Pricing, Risk Management, Derivatives Valuation, Implied Volatility Surface Calibration, Hedging Strategy Design.

arXiv:2606.22293 · Paper rankings

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