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Asymptotic skew under stochastic volatility
Jacquier, Antoine (contributor) - 2007
Persistent link: https://www.econbiz.de/10003408497
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Small-time asymptotics for implied volitility under the Heston model
Forde, Martin; Jacquier, Antoine - In: International journal of theoretical and applied finance 12 (2009) 6, pp. 861-876
Persistent link: https://www.econbiz.de/10003911247
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Robust approximations for pricing Asian options and volatility swaps under stochastic volatility
Forde, Martin; Jacquier, Antoine - In: Applied mathematical finance 17 (2010) 3/4, pp. 241-259
Persistent link: https://www.econbiz.de/10008653259
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Asymptotic arbitrage in the Heston model
Haba, Fatma; Jacquier, Antoine - In: International journal of theoretical and applied finance 18 (2015) 8, pp. 1-18
Persistent link: https://www.econbiz.de/10011419412
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A note on essential smoothness in the Heston model
Forde, Martin; Jacquier, Antoine; Mijatovi´c, Aleksandar - In: Finance and stochastics 15 (2011) 4, pp. 781-784
Persistent link: https://www.econbiz.de/10009423265
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The large-maturity smile for the Heston model
Forde, Martin; Jacquier, Antoine - In: Finance and stochastics 15 (2011) 4, pp. 755-780
Persistent link: https://www.econbiz.de/10009423267
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The implied volatility of forward starting options : ATM short-time level, skew and curvature
Alòs, Elisa; Jacquier, Antoine; León, Jorge A. - 2017
Persistent link: https://www.econbiz.de/10011686975
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Black-Scholes in a CEV random environment
Jacquier, Antoine; Roome, Patrick - In: Mathematics and financial economics 12 (2018) 3, pp. 445-474
Persistent link: https://www.econbiz.de/10011963872
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On VIX futures in the rough Bergomi model
Jacquier, Antoine; Martini, Claude; Muguruza, Aitor - In: Quantitative finance 18 (2018) 1, pp. 45-61
Persistent link: https://www.econbiz.de/10011905829
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The implied volatility of forward starting options : ATM short-time level, skew and curvature
Alòs, Elisa; Jacquier, Antoine; León, Jorge A. - 2017
Persistent link: https://www.econbiz.de/10011778056