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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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Asymptotics for the Laplace transform of the time integral of the geometric Brownian motion
Pirjol, Dan; Zhu, Lingjiong - In: Operations research letters 51 (2023) 3, pp. 346-352
Persistent link: https://www.econbiz.de/10014374962
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Small-noise limit of the quasi-Gaussian log-normal HJM model
Pirjol, Dan; Zhu, Lingjiong - In: Operations research letters 45 (2017) 1, pp. 6-11
Persistent link: https://www.econbiz.de/10011687046
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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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Explosion in the quasi-Gaussian HJM model
Pirjol, Dan; Zhu, Lingjiong - In: Finance and stochastics 22 (2018) 3, pp. 643-666
Persistent link: https://www.econbiz.de/10011945882
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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