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Precise asymptotics: robust stochastic volatility models (Q2240838)

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Language	Label	Description	Also known as
English	Precise asymptotics: robust stochastic volatility models	scientific article

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scholarly article

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Precise asymptotics: robust stochastic volatility models (English)

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The Annals of Applied Probability

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publication date

4 November 2021

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full work available at URL

https://arxiv.org/abs/1811.00267

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https://projecteuclid.org/journals/annals-of-applied-probability/volume-31/issue-2/Precise-asymptotics-Robust-stochastic-volatility-models/10.1214/20-AAP1608.full

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zbMATH Keywords

European option pricing

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regularity structures

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rough paths

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rough volatility

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small-time asymptotics

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MaRDI profile type

MaRDI publication profile

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Semi-classical limit of the bottom of spectrum of a Schrödinger operator on a path space over a compact Riemannian manifold

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On the short-time behavior of the implied volatility for jump-diffusion models with stochastic volatility

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Pricing under rough volatility

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A regularity structure for rough volatility

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Short-time near-the-money skew in rough fractional volatility models

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Methods de laplace et de la phase stationnaire sur l'espace de wiener

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Développement asymptotique du noyau de la chaleur hypoelliptique hors du cut-locus

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Computing the implied volatility in stochastic volatility models

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Large deviations and the Malliavin calculus

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A rough path perspective on renormalization

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Malliavin calculus for regularity structures: the case of gPAM

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Local Volatility, Conditioned Diffusions, and Varadhan's Formula

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Marginal Density Expansions for Diffusions and Stochastic Volatility I: Theoretical Foundations

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Marginal Density Expansions for Diffusions and Stochastic Volatility II: Applications

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Short-Term At-the-Money Asymptotics under Stochastic Volatility Models

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The characteristic function of rough Heston models

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The Small-Time Smile and Term Structure of Implied Volatility under the Heston Model

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Asymptotics for Rough Stochastic Volatility Models

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Option pricing in the moderate deviations regime

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A generalized Fernique theorem and applications

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A variation embedding theorem and applications

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Large deviations and asymptotic methods in finance

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A course on rough paths. With an introduction to regularity structures

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Asymptotic analysis for stochastic volatility: martingale expansion

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Short-time at-the-money skew and rough fractional volatility

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Asymptotics of implied volatility to arbitrary order

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On the martingale property in the rough Bergomi model

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Volatility is rough

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Large Deviation Principle for Volterra Type Fractional Stochastic Volatility Models

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Gaussian stochastic volatility models: scaling regimes, large deviations, and moment explosions

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Probability Distribution in the SABR Model of Stochastic Volatility

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A theory of regularity structures

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Analysis, Geometry, and Modeling in Finance

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A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options

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A stochastic Taylor-like expansion in the rough path theory

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Asymptotic expansions for the Laplace approximations for Itô functionals of Brownian rough paths

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Pathwise large deviations for the rough Bergomi model

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A remark on the asymptotic expansion of density function of Wiener functionals

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Precise asymptotics of certain Wiener functionals

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Correlations and bounds for stochastic volatility models

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Fractional Brownian motion with zero Hurst parameter: a rough volatility viewpoint

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General Asymptotics of Wiener Functionals and Application to Implied Volatilities

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Sample path large deviations and optimal importance sampling for stochastic volatility models

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Complications with stochastic volatility models

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Stock Price Distributions with Stochastic Volatility: An Analytic Approach

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Identifiers

zbMATH Open document ID

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10.1214/20-AAP1608

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Mathematics Subject Classification ID

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zbMATH DE Number

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Sitelinks

Mathematics(1 entry)

mardi Publication:2240838

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