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

2026/01/24 by Desen Guo, Dan Pirjol, Xiaoyu Wang +1 · 1 voice · 1 citation
Economics, Econometrics and Finance · #q-fin.PR #q-fin.MF

paper · pdf

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.

Citations

• VIX options in the SABR model
• Short-maturity asymptotics for VIX and European options in local-stochastic volatility models
• Short-time asymptotics for the implied volatility skew under a stochastic volatility model with Lévy jumps
• Consistent Modeling of VIX and Equity Derivatives Using a 3/2 plus Jumps Model
• The small-maturity smile for exponential Levy models
• A Jump-Diffusion Model for Option Pricing

Cited by

• VIX options in Bergomi models

Discussions

• Desen Guo, Dan Pirjol, Xiaoyu Wang, Lingjiong Zhu: VIX and European options with jumps in the short-maturity regime https://arxiv.org/abs/2601.17248 https://arxiv.org/pdf/2601.17248 https://arxiv.org/ [bsky, 0 points, 0 comments]

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