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 asymptotic expansion of the Hartman-Watson distribution in the regime constant. The leadi…