{"id":"https://openalex.org/W4414419503","doi":"https://doi.org/10.1137/25m1729629","title":"Asian Options for Local-Stochastic Volatility Models in the Short-Maturity Regime","display_name":"Asian Options for Local-Stochastic Volatility Models in the Short-Maturity Regime","publication_year":2025,"publication_date":"2025-09-23","ids":{"openalex":"https://openalex.org/W4414419503","doi":"https://doi.org/10.1137/25m1729629"},"language":"en","primary_location":{"id":"doi:10.1137/25m1729629","is_oa":false,"landing_page_url":"https://doi.org/10.1137/25m1729629","pdf_url":null,"source":{"id":"https://openalex.org/S75627377","display_name":"SIAM Journal on Financial Mathematics","issn_l":"1945-497X","issn":["1945-497X"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310320508","host_organization_name":"Society for Industrial and Applied Mathematics","host_organization_lineage":["https://openalex.org/P4310320508"],"host_organization_lineage_names":["Society for Industrial and Applied Mathematics"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"SIAM Journal on Financial Mathematics","raw_type":"journal-article"},"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5007027781","display_name":"Dan Pirjol","orcid":"https://orcid.org/0000-0002-0418-392X"},"institutions":[{"id":"https://openalex.org/I108468826","display_name":"Stevens Institute of Technology","ror":"https://ror.org/02z43xh36","country_code":"US","type":"education","lineage":["https://openalex.org/I108468826"]}],"countries":["US"],"is_corresponding":false,"raw_author_name":"Dan Pirjol","raw_affiliation_strings":["School of Business, Stevens Institute of Technology, Hoboken, NJ 07030, USA"],"raw_orcid":"https://orcid.org/0000-0002-0418-392X","affiliations":[{"raw_affiliation_string":"School of Business, Stevens Institute of Technology, Hoboken, NJ 07030, USA","institution_ids":["https://openalex.org/I108468826"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5103238499","display_name":"Lingjiong Zhu","orcid":"https://orcid.org/0000-0001-7595-160X"},"institutions":[{"id":"https://openalex.org/I103163165","display_name":"Florida State University","ror":"https://ror.org/05g3dte14","country_code":"US","type":"education","lineage":["https://openalex.org/I103163165"]}],"countries":["US"],"is_corresponding":false,"raw_author_name":"Lingjiong Zhu","raw_affiliation_strings":["Department of Mathematics, Florida State University, Tallahassee, FL 32306, USA"],"raw_orcid":"https://orcid.org/0000-0001-7595-160X","affiliations":[{"raw_affiliation_string":"Department of Mathematics, Florida State University, Tallahassee, FL 32306, USA","institution_ids":["https://openalex.org/I103163165"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":2,"corresponding_author_ids":[],"corresponding_institution_ids":[],"apc_list":null,"apc_paid":null,"fwci":1.6429,"has_fulltext":false,"cited_by_count":1,"citation_normalized_percentile":{"value":0.85897142,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":91,"max":95},"biblio":{"volume":"16","issue":"3","first_page":"1176","last_page":"1204"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9921000003814697,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9921000003814697,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T12011","display_name":"Insurance, Mortality, Demography, Risk Management","score":0.9883999824523926,"subfield":{"id":"https://openalex.org/subfields/3317","display_name":"Demography"},"field":{"id":"https://openalex.org/fields/33","display_name":"Social Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.9843000173568726,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/volatility","display_name":"Volatility (finance)","score":0.5371999740600586},{"id":"https://openalex.org/keywords/implied-volatility","display_name":"Implied volatility","score":0.4440999925136566},{"id":"https://openalex.org/keywords/stochastic-volatility","display_name":"Stochastic volatility","score":0.42750000953674316},{"id":"https://openalex.org/keywords/volatility-smile","display_name":"Volatility smile","score":0.4180000126361847},{"id":"https://openalex.org/keywords/constant-elasticity-of-variance-model","display_name":"Constant elasticity of variance model","score":0.3319000005722046},{"id":"https://openalex.org/keywords/sabr-volatility-model","display_name":"SABR volatility model","score":0.31360000371932983}],"concepts":[{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.5845000147819519},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.5717999935150146},{"id":"https://openalex.org/C91602232","wikidata":"https://www.wikidata.org/wiki/Q756115","display_name":"Volatility (finance)","level":2,"score":0.5371999740600586},{"id":"https://openalex.org/C24189920","wikidata":"https://www.wikidata.org/wiki/Q1660345","display_name":"Implied volatility","level":3,"score":0.4440999925136566},{"id":"https://openalex.org/C85393063","wikidata":"https://www.wikidata.org/wiki/Q596307","display_name":"Stochastic volatility","level":3,"score":0.42750000953674316},{"id":"https://openalex.org/C13290067","wikidata":"https://www.wikidata.org/wiki/Q915788","display_name":"Volatility smile","level":3,"score":0.4180000126361847},{"id":"https://openalex.org/C64133820","wikidata":"https://www.wikidata.org/wiki/Q5163651","display_name":"Constant elasticity of variance model","level":5,"score":0.3319000005722046},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.33009999990463257},{"id":"https://openalex.org/C187625094","wikidata":"https://www.wikidata.org/wiki/Q7388452","display_name":"SABR volatility model","level":4,"score":0.31360000371932983},{"id":"https://openalex.org/C194483076","wikidata":"https://www.wikidata.org/wiki/Q380382","display_name":"Valuation of options","level":2,"score":0.3091999888420105},{"id":"https://openalex.org/C88757350","wikidata":"https://www.wikidata.org/wiki/Q1557613","display_name":"L\u00e9vy process","level":2,"score":0.28690001368522644},{"id":"https://openalex.org/C192620184","wikidata":"https://www.wikidata.org/wiki/Q7940002","display_name":"Volatility swap","level":4,"score":0.2782000005245209},{"id":"https://openalex.org/C165603445","wikidata":"https://www.wikidata.org/wiki/Q7915766","display_name":"Variance swap","level":5,"score":0.2621999979019165},{"id":"https://openalex.org/C117996083","wikidata":"https://www.wikidata.org/wiki/Q5473296","display_name":"Forward volatility","level":4,"score":0.2554999887943268}],"mesh":[],"locations_count":2,"locations":[{"id":"doi:10.1137/25m1729629","is_oa":false,"landing_page_url":"https://doi.org/10.1137/25m1729629","pdf_url":null,"source":{"id":"https://openalex.org/S75627377","display_name":"SIAM Journal on Financial Mathematics","issn_l":"1945-497X","issn":["1945-497X"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310320508","host_organization_name":"Society for Industrial and Applied Mathematics","host_organization_lineage":["https://openalex.org/P4310320508"],"host_organization_lineage_names":["Society for Industrial and Applied Mathematics"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"SIAM Journal on Financial Mathematics","raw_type":"journal-article"},{"id":"pmh:oai:RePEc:arx:papers:2409.08377","is_oa":false,"landing_page_url":null,"pdf_url":null,"source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"preprint"}],"best_oa_location":null,"sustainable_development_goals":[],"awards":[{"id":"https://openalex.org/G4293828065","display_name":null,"funder_award_id":"DMS-2208303","funder_id":"https://openalex.org/F4320306076","funder_display_name":"National Science Foundation"},{"id":"https://openalex.org/G4458561136","display_name":null,"funder_award_id":"DMS-2053454","funder_id":"https://openalex.org/F4320306076","funder_display_name":"National Science Foundation"}],"funders":[{"id":"https://openalex.org/F4320306076","display_name":"National Science Foundation","ror":"https://ror.org/021nxhr62"}],"has_content":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":38,"referenced_works":["https://openalex.org/W1828584508","https://openalex.org/W1966603303","https://openalex.org/W1966642568","https://openalex.org/W1966829836","https://openalex.org/W2002133168","https://openalex.org/W2017986621","https://openalex.org/W2024148329","https://openalex.org/W2057372469","https://openalex.org/W2059469232","https://openalex.org/W2066406479","https://openalex.org/W2068540944","https://openalex.org/W2085043928","https://openalex.org/W2096168604","https://openalex.org/W2097511294","https://openalex.org/W2150066941","https://openalex.org/W2161600192","https://openalex.org/W2171996111","https://openalex.org/W2345098628","https://openalex.org/W2462503569","https://openalex.org/W2466826444","https://openalex.org/W2524550479","https://openalex.org/W2774549708","https://openalex.org/W2899058947","https://openalex.org/W2932148232","https://openalex.org/W2964269391","https://openalex.org/W3102313771","https://openalex.org/W3123088691","https://openalex.org/W3124048100","https://openalex.org/W3124087541","https://openalex.org/W3124457230","https://openalex.org/W3124556755","https://openalex.org/W3125537660","https://openalex.org/W4301258660","https://openalex.org/W4301454587","https://openalex.org/W4309859725","https://openalex.org/W4321331234","https://openalex.org/W4393041461","https://openalex.org/W4396867545"],"related_works":[],"abstract_inverted_index":{"We":[0,48,95],"derive":[1,70],"the":[2,28,31,55,60,64,76,83,91,97,105,134,141,157],"short-maturity":[3],"asymptotics":[4,20,29],"for":[5,30,54,75,90,125,160],"Asian":[6,110,127,161],"option":[7,111],"prices":[8],"in":[9,73,112,140],"local-stochastic":[10,115],"volatility":[11,99,107,116],"(LSV)":[12],"models.":[13],"Both":[14],"out-of-the-money":[15],"(OTM)":[16],"and":[17,86,102,144],"at-the-money":[18],"(ATM)":[19],"are":[21,34],"considered.":[22],"Using":[23,137],"large":[24],"deviations":[25],"theory":[26],"methods,":[27],"OTM":[32],"options":[33,128,162],"expressed":[35],"as":[36,43,122],"a":[37,44,50,113],"rate":[38,61],"function":[39,62],"which":[40,118],"is":[41],"represented":[42],"two-dimensional":[45],"variational":[46,56,80],"problem.":[47],"develop":[49],"novel":[51],"expansion":[52],"method":[53],"problem":[57,81],"by":[58],"expanding":[59],"around":[63,82],"ATM":[65,84,98,135],"point.":[66,136],"In":[67],"particular,":[68],"we":[69,152],"series":[71],"expansions":[72],"log-moneyness":[74],"solution":[77],"of":[78,104,108,156],"this":[79],"point,":[85],"obtain":[87],"explicit":[88],"results":[89],"first":[92],"three":[93],"terms.":[94],"give":[96],"level,":[100],"skew":[101],"convexity":[103],"implied":[106],"an":[109,123,145],"general":[114],"model,":[117],"can":[119],"be":[120],"used":[121],"approximation":[124],"pricing":[126],"with":[129,148,163],"strikes":[130],"sufficiently":[131,164],"close":[132],"to":[133],"numerical":[138],"simulations":[139],"SABR,":[142],"Heston":[143],"LSV":[146],"model":[147],"bounded":[149],"local":[150],"volatility,":[151],"show":[153],"good":[154],"performance":[155],"asymptotic":[158],"result":[159],"small":[165],"maturity.":[166]},"counts_by_year":[{"year":2025,"cited_by_count":1}],"updated_date":"2026-06-11T09:08:48.828518","created_date":"2025-10-10T00:00:00"}
