64 citations · 204 across the 26 of their papers we have counts for
Showing 2012 · q-fin.CPShow all
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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…