Extreme-strike asymptotics for general Gaussian stochastic volatility models

DOI10.1007/s10436-018-0338-zzbMath1410.91450arXiv1502.05442OpenAlexW1547334624MaRDI QIDQ2422124

Frederi G. Viens, Xin Zhang, Archil Gulisashvili

Publication date: 18 June 2019

Published in: Annals of Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1502.05442

zbMATH Keywords

stochastic volatilityimplied volatilityKarhunen-Loève expansionchi-squared variateslarge strike

Mathematics Subject Classification ID

Gaussian processes (60G15) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (12)

Deviation properties for linear self-attracting diffusion process and applications ⋮ The characteristic function of Gaussian stochastic volatility models: an analytic expression ⋮ The Laplace transform of the integrated Volterra Wishart process ⋮ Cubature Method for Stochastic Volterra Integral Equations ⋮ Large deviation principles for stochastic volatility models with reflection ⋮ A partial rough path space for rough volatility ⋮ Asymptotics for Rough Stochastic Volatility Models ⋮ APPROXIMATE PRICING OF DERIVATIVES UNDER FRACTIONAL STOCHASTIC VOLATILITY MODEL ⋮ Correction to Black--Scholes Formula Due to Fractional Stochastic Volatility ⋮ Pathwise asymptotics for Volterra type stochastic volatility models ⋮ Time-inhomogeneous Gaussian stochastic volatility models: large deviations and super roughness ⋮ Small-time asymptotics for Gaussian self-similar stochastic volatility models

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