Precise asymptotics: robust stochastic volatility models
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Publication:2240838
DOI10.1214/20-AAP1608zbMath1476.60183arXiv1811.00267OpenAlexW2899058947MaRDI QIDQ2240838
Paolo Pigato, Paul Gassiat, Peter K. Friz
Publication date: 4 November 2021
Published in: The Annals of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1811.00267
Fractional processes, including fractional Brownian motion (60G22) Applications of stochastic analysis (to PDEs, etc.) (60H30) Large deviations (60F10) Derivative securities (option pricing, hedging, etc.) (91G20) Self-similar stochastic processes (60G18) Applications of rough analysis (60L90) Regularity structures (60L30)
Related Items (16)
Precise Laplace asymptotics for singular stochastic PDEs: the case of 2D gPAM ⋮ Empirical analysis of rough and classical stochastic volatility models to the SPX and VIX markets ⋮ Singular paths spaces and applications ⋮ Large and moderate deviations for stochastic Volterra systems ⋮ Short-dated smile under rough volatility: asymptotics and numerics ⋮ Gaussian stochastic volatility models: scaling regimes, large deviations, and moment explosions ⋮ Reconstructing volatility: Pricing of index options under rough volatility ⋮ Small‐time, large‐time, and asymptotics for the Rough Heston model ⋮ Asymptotics for multifactor Volterra type stochastic volatility models ⋮ On the martingale property in the rough Bergomi model ⋮ A partial rough path space for rough volatility ⋮ Edgeworth expansions for volatility models ⋮ Local volatility under rough volatility ⋮ Precise asymptotics on the Birkhoff sums for dynamical systems ⋮ Log-Modulated Rough Stochastic Volatility Models ⋮ Density estimates and short-time asymptotics for a hypoelliptic diffusion process
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