2 papers
q-fin.CP2026
Implied Volatility Expansions for VIX Options in Forward Variance Models
Ying Liao, Ankush Agarwal, Florian Bourgey
We develop closed-form expansions for the implied volatility of VIX options within the class of forward variance models. Our approach builds on weak-approximation techniques for VI…
q-fin.MF2024
Efficient calibration of the shifted square-root diffusion model to credit default swap spreads using asymptotic approximations
Ankush Agarwal, Ying Liao
We derive a closed-form approximation for the credit default swap (CDS) spread in the two-dimensional shifted square-root diffusion (SSRD) model using asymptotic coefficient expans…