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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

W-Shaped Implied Volatility Curves and the Gaussian Mixture Model

Glasserman, Paul; Pirjol, Dan - 2022

The number of crossings of the implied volatility function with a fixed level is bounded above by the number of crossings of the risk-neutral density with the density of a log-normal distribution with the same mean as the forward price. It is bounded below by the number of convex payoffs priced...

Persistent link: https://www.econbiz.de/10013322749

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

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

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

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

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