64 citations · 204 across the 26 of their papers we have counts for
4 papers · 1 filter
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…
Perturbation analysis of sub/super hedging problems
Sergey Badikov, Mark H. A. Davis, Antoine Jacquier
We investigate the links between various no-arbitrage conditions and the existence of pricing functionals in general markets, and prove the Fundamental Theorem of Asset Pricing the…
Pathwise moderate deviations for option pricing
Antoine Jacquier, Konstantinos Spiliopoulos
We provide a unifying treatment of pathwise moderate deviations for models commonly used in financial applications, and for related integrated functionals. Suitable scaling allows…
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…