2 papers
q-fin.CP2012
The Smile of certain Lévy-type Models
Antoine Jacquier, Matthew Lorig
We consider a class of assets whose risk-neutral pricing dynamics are described by an exponential Lévy-type process subject to default. The class of processes we consider features…
q-fin.PR2011
A note on essential smoothness in the Heston model
Martin Forde, Antoine Jacquier, Aleksandar Mijatovic
This note studies an issue relating to essential smoothness that can arise when the theory of large deviations is applied to a certain option pricing formula in the Heston model. T…