Large Deviation Principle for Volterra Type Fractional Stochastic Volatility Models
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Publication:4553805
DOI10.1137/17M116344XzbMath1416.91376arXiv1710.10711OpenAlexW2962965786MaRDI QIDQ4553805
Publication date: 31 October 2018
Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1710.10711
self-similaritylarge deviationsimplied volatilityVolterra type Gaussian processesfractional stochastic volatility models
Gaussian processes (60G15) Fractional processes, including fractional Brownian motion (60G22) Large deviations (60F10) Derivative securities (option pricing, hedging, etc.) (91G20) Self-similar stochastic processes (60G18)
Related Items (16)
Large and moderate deviations for stochastic Volterra systems ⋮ Black-Scholes in a CEV random environment ⋮ Gaussian stochastic volatility models: scaling regimes, large deviations, and moment explosions ⋮ The Laplace transform of the integrated Volterra Wishart process ⋮ Reconstructing volatility: Pricing of index options under rough volatility ⋮ Asymptotics for multifactor Volterra type stochastic volatility models ⋮ Large deviation principles for stochastic volatility models with reflection ⋮ A partial rough path space for rough volatility ⋮ Tauberian Korevaar ⋮ Local volatility under rough volatility ⋮ Large deviations for fractional volatility models with non-Gaussian volatility driver ⋮ Precise asymptotics: robust stochastic volatility models ⋮ Pathwise asymptotics for Volterra type stochastic volatility models ⋮ Time-inhomogeneous Gaussian stochastic volatility models: large deviations and super roughness ⋮ Short-time near-the-money skew in rough fractional volatility models ⋮ Large deviations for conditionally Gaussian processes: estimates of level crossing probability
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