64 citations · 204 across the 26 of their papers we have counts for
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q-fin.PR2018
Small-time moderate deviations for the randomised Heston model
Antoine Jacquier, Fangwei Shi
We extend previous large deviations results for the randomised Heston model to the case of moderate deviations. The proofs involve the Gärtner-Ellis theorem and sharp large deviati…
q-fin.PR2018
Volatility options in rough volatility models
Blanka Horvath, Antoine Jacquier, Peter Tankov
We discuss the pricing and hedging of volatility options in some rough volatility models. First, we develop efficient Monte Carlo methods and asymptotic approximations for computin…