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q-fin.PR2026
VIX and European options with jumps in the short-maturity regime
Desen Guo, Dan Pirjol, Xiaoyu Wang +1
We present a study of the short-maturity asymptotics for VIX and European option prices in local-stochastic volatility models with compound Poisson jumps. Both out-of-the-money (OT…
q-fin.PR2024
Short-maturity options on realized variance in local-stochastic volatility models
Dan Pirjol, Xiaoyu Wang, Lingjiong Zhu
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…
q-fin.PR2024
Short-maturity asymptotics for VIX and European options in local-stochastic volatility models
Dan Pirjol, Xiaoyu Wang, Lingjiong Zhu
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. Bot…