64 citations · 204 across the 26 of their papers we have counts for
3 papers · 1 filter
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…
Black-Scholes in a CEV random environment
Antoine Jacquier, Patrick Roome
Classical (Itô diffusions) stochastic volatility models are not able to capture the steepness of small-maturity implied volatility smiles. Jumps, in particular exponential Lévy and…
Mass at zero in the uncorrelated SABR model and implied volatility asymptotics
Archil Gulisashvili, Blanka Horvath, Antoine Jacquier
We study the mass at the origin in the uncorrelated SABR stochastic volatility model, and derive several tractable expressions, in particular when time becomes small or large. As a…