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Discrete sums of geometric Brownian motions, annuities and Asian options

Pirjol, Dan; Zhu, Lingjiong - In: Insurance / Mathematics & economics 70 (2016), pp. 19-37

Persistent link: https://www.econbiz.de/10011597130

Sensitivities of Asian options in the black-scholes model

Pirjol, Dan; Zhu, Lingjiong - In: International journal of theoretical and applied finance 21 (2018) 1, pp. 1-25

Persistent link: https://www.econbiz.de/10011846502

Short maturity forward start Asian options in local volatility models

Pirjol, Dan; Wang, Jing; Zhu, Lingjiong - In: Applied mathematical finance 26 (2019) 3, pp. 187-221

Persistent link: https://www.econbiz.de/10012210271

Asymptotics for short maturity Asian options in jump-diffusion models with local volatility

Pirjol, Dan; Zhu, Lingjiong - In: Quantitative finance 24 (2024) 3/4, pp. 433-449

Persistent link: https://www.econbiz.de/10014552074

Short-maturity asymptotics for option prices with interest rate effects

Pirjol, Dan; Zhu, Lingjiong - In: International journal of theoretical and applied … 26 (2023) 6/7, pp. 1-28

Persistent link: https://www.econbiz.de/10014500189

Options with extreme strikes

Zhu, Lingjiong - In: Risks : open access journal 3 (2015) 3, pp. 234-249

In this short paper, we study the asymptotics for the price of call options for very large strikes and put options for very small strikes. The stock price is assumed to follow the Black-Scholes models. We analyze European, Asian, American, Parisian and perpetual options and conclude that the...

Persistent link: https://www.econbiz.de/10011300319