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Subleading correction to the Asian options volatility in the black-scholes model
Pirjol, Dan - In: International journal of theoretical and applied … 26 (2023) 2/3, pp. 1-19
Persistent link: https://www.econbiz.de/10014365668
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Explosive behavior in a log-normal interest rate model
Pirjol, Dan - In: International journal of theoretical and applied finance 16 (2013) 4, pp. 1-23
Persistent link: https://www.econbiz.de/10009780635
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Discrete sums of geometric Brownian motions, annuities and Asian options
Pirjol, Dan; Zhu, Lingjiong - In: Insurance / Mathematics & economics 70 (2016), pp. 19-37
Persistent link: https://www.econbiz.de/10011597130
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Sensitivities of Asian options in the black-scholes model
Pirjol, Dan; Zhu, Lingjiong - In: International journal of theoretical and applied finance 21 (2018) 1, pp. 1-25
Persistent link: https://www.econbiz.de/10011846502
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Short maturity forward start Asian options in local volatility models
Pirjol, Dan; Wang, Jing; Zhu, Lingjiong - In: Applied mathematical finance 26 (2019) 3, pp. 187-221
Persistent link: https://www.econbiz.de/10012210271
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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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Short-maturity asymptotics for option prices with interest rate effects
Pirjol, Dan; Zhu, Lingjiong - In: International journal of theoretical and applied … 26 (2023) 6/7, pp. 1-28
Persistent link: https://www.econbiz.de/10014500189
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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