Asymptotics for volatility derivatives in multi-factor rough volatility models

DOI10.1007/s11579-020-00288-5zbMath1471.91573arXiv1903.02833OpenAlexW3121032066MaRDI QIDQ2037765

Chloe Lacombe, Aitor Muguruza, Henry Stone

Publication date: 8 July 2021

Published in: Mathematics and Financial Economics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1903.02833

zbMATH Keywords

Gaussian measureLarge deviationRealised varianceReproducing kernel Hilbert spaceRough volatilitySmall-time asymptotic, VIX

Mathematics Subject Classification ID

Gaussian processes (60G15) Numerical methods (including Monte Carlo methods) (91G60) Fractional processes, including fractional Brownian motion (60G22) Large deviations (60F10) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (3)

Empirical analysis of rough and classical stochastic volatility models to the SPX and VIX markets ⋮ Large and moderate deviations for stochastic Volterra systems ⋮ Weak approximations and VIX option price expansions in forward variance curve models

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