VIX and European options with jumps in the short-maturity regime

Desen Guo, Dan Pirjol, Xiaoyu Wang and Lingjiong Zhu

Papers from arXiv.org

Abstract: 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 (OTM) and at-the-money (ATM) asymptotics are considered. The leading-order asymptotics are obtained in closed-form. We apply our results to three examples: the Eraker model, a Kou-type model, and a folded normal model. Numerical illustrations are provided for these three examples that show the accuracy of predictions based on the asymptotic results.

Date: 2026-01
References: Add references at CitEc
Citations:

Downloads: (external link)
http://arxiv.org/pdf/2601.17248 Latest version (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:2601.17248

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().