64 citations · 204 across the 26 of their papers we have counts for
3 papers · 1 filter
Shapes of implied volatility with positive mass at zero
Stefano De Marco, Caroline Hillairet, Antoine Jacquier
We study the shapes of the implied volatility when the underlying distribution has an atom at zero and analyse the impact of a mass at zero on at-the-money implied volatility and t…
Marginal density expansions for diffusions and stochastic volatility, part II: Applications [to the Stein--Stein model]
J. D. Deuschel, P. K. Friz, A. Jacquier +1
In the compagnion paper [Marginal density expansions for diffusions and stochastic volatility, part I] we discussed density expansions for multidimensional diffusions $(X^1,...,X^d…
The Small-Maturity Heston Forward Smile
Antoine Jacquier, Patrick Roome
In this paper we investigate the asymptotics of forward-start options and the forward implied volatility smile in the Heston model as the maturity approaches zero. We prove that th…