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

Author

Listed:
  • Desen Guo
  • Dan Pirjol
  • Xiaoyu Wang
  • Lingjiong Zhu

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.

Suggested Citation

  • Desen Guo & Dan Pirjol & Xiaoyu Wang & Lingjiong Zhu, 2026. "VIX and European options with jumps in the short-maturity regime," Papers 2601.17248, arXiv.org.
    • Handle: RePEc:arx:papers:2601.17248
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    References listed on IDEAS

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