64 citations · 204 across the 26 of their papers we have counts for
Showing 2016Show all
2 papers · 1 filter
math.PR2016
On the probability of hitting the boundary for Brownian motions on the SABR plane
Archil Gulisashvili, Blanka Horvath, Antoine Jacquier
Starting from the hyperbolic Brownian motion as a time-changed Brownian motion, we explore a set of probabilistic models--related to the SABR model in mathematical finance--which c…
q-fin.PR2016
No-arbitrage bounds for the forward smile given marginals
Sergey Badikov, Antoine Jacquier, Daphne Qing Liu +1
We explore the robust replication of forward-start straddles given quoted (Call and Put options) market data. One approach to this problem classically follows semi-infinite linear…