1.6k citations · 7.2k across the 109 of their papers we have counts for
110 papers
The logistic-normal integral and the moments of the logistic-normal distribution
Dan Pirjol
The logistic-normal integral appears in problems of statistical estimation for logistic models with Gaussian random effects, and generalized linear mixed models. We study the numer…
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…
VIX options in the SABR model
Dan Pirjol, Lingjiong Zhu
We study the pricing of VIX options in the SABR model where are standard Brownian motions correlated with correlation and $…
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…
Asian options for local-stochastic volatility models in the short-maturity regime
Dan Pirjol, Lingjiong Zhu
We derive the short-maturity asymptotics for Asian option prices in local-stochastic volatility (LSV) models. Both out-of-the-money (OTM) and at-the-money (ATM) asymptotics are con…
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…