Pirjol, Dan Subleading correction to the Asian options volatility in the Black-Scholes model. (English) Zbl 1521.91363 Int. J. Theor. Appl. Finance 26, No. 2-3, Article ID 2350005, 19 p. (2023). MSC: 91G20 60J70 PDFBibTeX XMLCite \textit{D. Pirjol}, Int. J. Theor. Appl. Finance 26, No. 2--3, Article ID 2350005, 19 p. (2023; Zbl 1521.91363) Full Text: DOI
Alòs, Elisa; Mancino, Maria Elvira; Wang, Tai-Ho Volatility and volatility-linked derivatives: estimation, modeling, and pricing. (English) Zbl 1431.91388 Decis. Econ. Finance 42, No. 2, 321-349 (2019). Reviewer: George Stoica (Saint John) MSC: 91G20 60G22 PDFBibTeX XMLCite \textit{E. Alòs} et al., Decis. Econ. Finance 42, No. 2, 321--349 (2019; Zbl 1431.91388) Full Text: DOI
Pirjol, Dan; Wang, Jing; Zhu, Lingjiong Short maturity forward start Asian options in local volatility models. (English) Zbl 1426.91274 Appl. Math. Finance 26, No. 3, 187-221 (2019). MSC: 91G20 60F10 PDFBibTeX XMLCite \textit{D. Pirjol} et al., Appl. Math. Finance 26, No. 3, 187--221 (2019; Zbl 1426.91274) Full Text: DOI arXiv
Pirjol, Dan; Zhu, Lingjiong Sensitivities of Asian options in the Black-Scholes model. (English) Zbl 1395.91463 Int. J. Theor. Appl. Finance 21, No. 1, Article ID 1850008, 25 p. (2018). MSC: 91G20 91G60 PDFBibTeX XMLCite \textit{D. Pirjol} and \textit{L. Zhu}, Int. J. Theor. Appl. Finance 21, No. 1, Article ID 1850008, 25 p. (2018; Zbl 1395.91463) Full Text: DOI