A. Jacquier

activity

20092023

most citedAsymptotic formulae for implied volatility in the Heston model

64 citations · 204 across the 26 of their papers we have counts for

collaborators

Showing 2011Show all

3 papers · 1 filter

math.PR2011★ 8 cited

Marginal density expansions for diffusions and stochastic volatility, part I: Theoretical Foundations

J. D. Deuschel, P. K. Friz, A. Jacquier +1

Density expansions for hypoelliptic diffusions $(X^{1}, ..., X^{d})$ are revisited. In particular, we are interested in density expansions of the projection $(X_{T}^{1}, ..., X_{T}^{l})$ , at time…

q-fin.PR2011

Large deviations and stochastic volatility with jumps: asymptotic implied volatility for affine models

Antoine Jacquier, Martin Keller-Ressel, Aleksandar Mijatovic

Let $σ_{t} (x)$ denote the implied volatility at maturity $t$ for a strike $K = S_{0} e^{x t}$ , where $x \in R$ and $S_{0}$ is the current value of the underlying. We show that $σ_{t} (x)$ has…

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…