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Proof of non-convergence of the short-maturity expansion for the SABR model
Lewis, Alan L.; Pirjol, Dan - In: Quantitative finance 22 (2022) 9, pp. 1747-1757
Persistent link: https://www.econbiz.de/10013367944
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Asymptotics for short maturity Asian options in jump-diffusion models with local volatility
Pirjol, Dan; Zhu, Lingjiong - In: Quantitative finance 24 (2024) 3/4, pp. 433-449
Persistent link: https://www.econbiz.de/10014552074
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W-shaped implied volatility curves and the Gaussian mixture model
Glasserman, Paul; Pirjol, Dan - In: Quantitative finance 23 (2023) 4, pp. 557-577
Persistent link: https://www.econbiz.de/10014304265