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q-fin.PR2019
Dynamics of symmetric SSVI smiles and implied volatility bubbles
Mehdi El Amrani, Antoine Jacquier, Claude Martini
We develop a dynamic version of the SSVI parameterisation for the total implied variance, ensuring that European vanilla option prices are martingales, hence preventing the occurre…
q-fin.PR2013★ 1 cited
Asymptotic arbitrage in the Heston model
Fatma Haba, Antoine Jacquier
In the context of the Heston model, we establish a precise link between the set of equivalent martingale measures, the ergodicity of the underlying variance process and the concept…