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Dan Pirjol

Orcid: 0000-0002-0418-392X

According to our database1, Dan Pirjol authored at least 10 papers between 2013 and 2025.

Collaborative distances:
  • Dijkstra number2 of five.
  • Erdős number3 of five.

Timeline

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Links

On csauthors.net:

Bibliography

2025
Asian Options for Local-Stochastic Volatility Models in the Short-Maturity Regime.
[BibTeX]
[DOI]
Dan Pirjol
,
Lingjiong Zhu
SIAM J. Financial Math., 2025

VIX options in the SABR model.
[BibTeX]
[DOI]
Dan Pirjol
,
Lingjiong Zhu
Oper. Res. Lett., 2025

2023
Asymptotics for the Laplace transform of the time integral of the geometric Brownian motion.
[BibTeX]
[DOI]
Dan Pirjol
,
Lingjiong Zhu
Oper. Res. Lett., May, 2023

2022
On the distribution of the time-integral of the geometric Brownian motion.
[BibTeX]
[DOI]
Péter Nándori
,
Dan Pirjol
J. Comput. Appl. Math., 2022

2020
Asymptotic expansion for the Hartman-Watson distribution.
[BibTeX]
[DOI]
Dan Pirjol
CoRR, 2020

2018
Explosion in the quasi-Gaussian HJM model.
[BibTeX]
[DOI]
Dan Pirjol
,
Lingjiong Zhu
Finance Stochastics, 2018

2017
Small-noise limit of the quasi-Gaussian log-normal HJM model.
[BibTeX]
[DOI]
Dan Pirjol
,
Lingjiong Zhu
Oper. Res. Lett., 2017

2016
Short Maturity Asian Options in Local Volatility Models.
[BibTeX]
[DOI]
Dan Pirjol
,
Lingjiong Zhu
SIAM J. Financial Math., 2016

2014
Addendum: The logistic-normal integral and its generalizations.
[BibTeX]
[DOI]
Dan Pirjol
J. Comput. Appl. Math., 2014

2013
The logistic-normal integral and its generalizations.
[BibTeX]
[DOI]
Dan Pirjol
J. Comput. Appl. Math., 2013


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