Option pricing in the moderate deviations regime

DOI10.1111/mafi.12156zbMath1411.91554arXiv1604.01281OpenAlexW3124836978WikidataQ55634326 ScholiaQ55634326MaRDI QIDQ4581294

Stefan Gerhold, Peter K. Friz, Arpad Pinter

Publication date: 16 August 2018

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1604.01281

zbMATH Keywords

asymptoticsoption pricingmoderate deviationsimplied volatility

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (12)

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 ⋮ Small‐time, large‐time, and asymptotics for the Rough Heston model ⋮ Small-time moderate deviations for the randomised Heston model ⋮ Precise asymptotics: robust stochastic volatility models ⋮ The Randomized Heston Model ⋮ Moderate deviations for Euler-Maruyama approximation of Hull-White stochastic volatility model ⋮ Short-Term At-the-Money Asymptotics under Stochastic Volatility Models ⋮ Short-time near-the-money skew in rough fractional volatility models ⋮ Volatility has to be rough ⋮ The VIX Future in Bergomi Models: Fast Approximation Formulas and Joint Calibration with S&P 500 Skew

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