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…
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…