Dan Pirjol

collaborators

2 papers

q-fin.PR2026

VIX options in Bergomi models

Desen Guo, Dan Pirjol, Lingjiong Zhu

We present a study of the leading-order asymptotics for VIX option prices in Bergomi models in the short-maturity and small volatility-of-volatility regimes. Both out-of-the-money…

math.CA2025

Error bound for the asymptotic expansion of the Hartman-Watson integral

Dan Pirjol

This note gives a bound on the error of the leading term of the $t \to 0$ asymptotic expansion of the Hartman-Watson distribution $θ (r, t)$ in the regime $r t = ρ$ constant. The leading…