Articles with public access mandates - Dan PirjolLearn more
Available somewhere: 13
Short maturity Asian options in local volatility models
D Pirjol, L Zhu
SIAM Journal on Financial Mathematics 7 (1), 947-992, 2016
Mandates: US National Science Foundation
Short maturity Asian options for the CEV model
D Pirjol, L Zhu
Probability in the Engineering and Informational Sciences 33 (2), 258-290, 2019
Mandates: US National Science Foundation
Asymptotics for the discrete-time average of the geometric Brownian motion and Asian options
D Pirjol, L Zhu
Advances in Applied Probability 49 (2), 446-480, 2017
Mandates: US National Science Foundation
Discrete sums of geometric Brownian motions, annuities and Asian options
D Pirjol, L Zhu
Insurance: Mathematics and Economics 70, 19-37, 2016
Mandates: US National Science Foundation
Sensitivities of Asian options in the Black–Scholes model
D Pirjol, L Zhu
International Journal of Theoretical and Applied Finance 21 (01), 1850008, 2018
Mandates: US National Science Foundation
Short maturity forward start Asian options in local volatility models
D Pirjol, J Wang, L Zhu
Applied Mathematical Finance 26 (3), 187-221, 2019
Mandates: US National Science Foundation
Asymptotics for the Euler-discretized Hull-White stochastic volatility model
D Pirjol, L Zhu
Methodology and Computing in Applied Probability 20, 289-331, 2018
Mandates: US National Science Foundation
Asymptotics of the time-discretized log-normal SABR model: The implied volatility surface
D Pirjol, L Zhu
Probability in the Engineering and Informational Sciences 35 (4), 942-974, 2021
Mandates: US National Science Foundation
On the distribution of the time-integral of the geometric Brownian motion
P Nándori, D Pirjol
Journal of Computational and Applied Mathematics 402, 113818, 2022
Mandates: US National Science Foundation
Explosion in the quasi-Gaussian HJM model
D Pirjol, L Zhu
Finance and Stochastics 22, 643-666, 2018
Mandates: US National Science Foundation
Asymptotics for the Laplace transform of the time integral of the geometric Brownian motion
D Pirjol, L Zhu
Operations Research Letters 51 (3), 346-352, 2023
Mandates: US National Science Foundation
Small-noise limit of the quasi-Gaussian log-normal HJM model
D Pirjol, L Zhu
Operations Research Letters 45 (1), 6-11, 2017
Mandates: US National Science Foundation
Short-Maturity Asymptotics For Option Prices With Interest Rate Effects
D Pirjol, L Zhu
International Journal of Theoretical and Applied Finance 26 (06n07), 2350023, 2023
Mandates: US National Science Foundation
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