64 citations · 204 across the 26 of their papers we have counts for
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q-fin.CP2014★ 6 cited
An explicit Euler scheme with strong rate of convergence for financial SDEs with non-Lipschitz coefficients
Jean-Francois Chassagneux, Antoine Jacquier, Ivo Mihaylov
We consider the approximation of stochastic differential equations (SDEs) with non-Lipschitz drift or diffusion coefficients. We present a modified explicit Euler-Maruyama discreti…
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.CP2012
From characteristic functions to implied volatility expansions
Antoine Jacquier, Matthew Lorig
For any strictly positive martingale for which has a characteristic function, we provide an expansion for the implied volatility. This expansion is explicit in th…