64 citations · 204 across the 26 of their papers we have counts for
4 papers · 1 filter
Rough multifactor volatility for SPX and VIX options
Antoine Jacquier, Aitor Muguruza, Alexandre Pannier
We provide explicit small-time formulae for the at-the-money implied volatility, skew and curvature in a large class of models, including rough volatility models and their multi-fa…
Perturbation analysis of sub/super hedging problems
Sergey Badikov, Mark H. A. Davis, Antoine Jacquier
We investigate the links between various no-arbitrage conditions and the existence of pricing functionals in general markets, and prove the Fundamental Theorem of Asset Pricing the…
Pathwise moderate deviations for option pricing
Antoine Jacquier, Konstantinos Spiliopoulos
We provide a unifying treatment of pathwise moderate deviations for models commonly used in financial applications, and for related integrated functionals. Suitable scaling allows…
Implied volatility in strict local martingale models
Antoine Jacquier, Martin Keller-Ressel
We consider implied volatilities in asset pricing models, where the discounted underlying is a strict local martingale under the pricing measure. Our main result gives an asymptoti…