Large deviations and stochastic volatility with jumps: asymptotic implied volatility for affine models (Q5411908)
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scientific article; zbMATH DE number 6288398
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Large deviations and stochastic volatility with jumps: asymptotic implied volatility for affine models |
scientific article; zbMATH DE number 6288398 |
Statements
Large deviations and stochastic volatility with jumps: asymptotic implied volatility for affine models (English)
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25 April 2014
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large deviation principle
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stochastic volatility with jumps
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asymptotic implied volatility
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affine stochastic volatility process
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limiting smile
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