Zobrazeno 1 - 10
of 350
pro vyhledávání: '"Pirjol, Dan"'
We derive the short-maturity asymptotics for prices of options on realized variance in local-stochastic volatility models. We consider separately the short-maturity asymptotics for out-of-the-money and in-the-money options cases. The analysis for the
Externí odkaz:
http://arxiv.org/abs/2411.02520
Autor:
Pirjol, Dan, Zhu, Lingjiong
We derive the short-maturity asymptotics for Asian option prices in local-stochastic volatility (LSV) models. Both out-of-the-money (OTM) and at-the-money (ATM) asymptotics are considered. Using large deviations theory methods, the asymptotics for th
Externí odkaz:
http://arxiv.org/abs/2409.08377
We derive the short-maturity asymptotics for European and VIX option prices in local-stochastic volatility models where the volatility follows a continuous-path Markov process. Both out-of-the-money (OTM) and at-the-money (ATM) asymptotics are consid
Externí odkaz:
http://arxiv.org/abs/2407.16813
Autor:
Pirjol, Dan
Publikováno v:
IJTAF vol 26, no. 2-3, 2350005, 2023
The short maturity limit $T\to 0$ for the implied volatility of an Asian option in the Black-Scholes model is determined by the large deviations property for the time-average of the geometric Brownian motion. In this note we derive the subleading $O(
Externí odkaz:
http://arxiv.org/abs/2407.05142
Autor:
Pirjol, Dan, Zhu, Lingjiong
Publikováno v:
International Journal of Theoretical and Applied Finance 2023, Volume 26, 2350023
We derive the short-maturity asymptotics for option prices in the local volatility model in a new short-maturity limit $T\to 0$ at fixed $\rho = (r-q) T$, where $r$ is the interest rate and $q$ is the dividend yield. In cases of practical relevance $
Externí odkaz:
http://arxiv.org/abs/2402.14161
Autor:
Pirjol, Dan, Zhu, Lingjiong
Publikováno v:
Quantitative Finance 2024, Vol. 24, Nos. 3-4, 433-449
We present a study of the short maturity asymptotics for Asian options in a jump-diffusion model with a local volatility component, where the jumps are modeled as a compound Poisson process. The analysis for out-of-the-money Asian options is extended
Externí odkaz:
http://arxiv.org/abs/2308.15672
Autor:
Pirjol, Dan, Zhu, Lingjiong
Publikováno v:
Operations Research Letters 2023, Volume 51, 346-352
We present an asymptotic result for the Laplace transform of the time integral of the geometric Brownian motion $F(\theta,T) = \mathbb{E}[e^{-\theta X_T}]$ with $X_T = \int_0^T e^{\sigma W_s + ( a - \frac12 \sigma^2)s} ds$, which is exact in the limi
Externí odkaz:
http://arxiv.org/abs/2306.09084
Autor:
Pirjol, Dan, Zhu, Lingjiong
Publikováno v:
International Journal of Theoretical and Applied Finance 21(01), 1850008, 2018
We propose analytical approximations for the sensitivities (Greeks) of the Asian options in the Black-Scholes model, following from a small maturity/volatility approximation for the option prices which has the exact short maturity limit, obtained usi
Externí odkaz:
http://arxiv.org/abs/2301.06460
Autor:
Nandori, Peter, Pirjol, Dan
Publikováno v:
Journal of Computational and Applied Mathematics 402 (2022) 113818
We study the numerical evaluation of several functions appearing in the small time expansion of the distribution of the time-integral of the geometric Brownian motion as well as its joint distribution with the terminal value of the underlying Brownia
Externí odkaz:
http://arxiv.org/abs/2209.09412