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arXiv · 2601.17248

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

Desen Guo·Dan Pirjol·Xiaoyu Wang·Lingjiong Zhu
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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.

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Desen Guo, Dan Pirjol, Xiaoyu Wang, Lingjiong Zhu. 2026-01-24. VIX and European options with jumps in the short-maturity regime. https://arxiv.org/abs/2601.17248

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