Small-time moderate deviations for the randomised Heston model
From MaRDI portal
Publication:5109487
DOI10.1017/jpr.2019.73zbMath1434.60091arXiv1808.03548OpenAlexW2886921519MaRDI QIDQ5109487
Publication date: 12 May 2020
Published in: Journal of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1808.03548
Stochastic models in economics (91B70) Large deviations (60F10) Derivative securities (option pricing, hedging, etc.) (91G20)
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Asymptotics of implied volatility to arbitrary order
- Averaging principle of SDE with small diffusion: Moderate deviations
- Moderate deviations of dependent random variables related to CLT
- Moderate deviations for martingales with bounded jumps
- On the short-time behavior of the implied volatility for jump-diffusion models with stochastic volatility
- Examples of moderate deviation principle for diffusion processes
- A NEW LOOK AT SHORT-TERM IMPLIED VOLATILITY IN ASSET PRICE MODELS WITH JUMPS
- General Smile Asymptotics with Bounded Maturity
- SMALL-TIME ASYMPTOTICS FOR IMPLIED VOLATILITY UNDER THE HESTON MODEL
- Probabilities of Moderate Deviations in a Banach Space
- Moderate Deviations and Associated Laplace Approximations for Sums of Independent Random Vectors
- Asymptotic Behavior of the Fractional Heston Model
- On VIX futures in the rough Bergomi model
- Volatility is rough
- Short-time at-the-money skew and rough fractional volatility
- Option pricing in the moderate deviations regime
- Pricing under rough volatility
- Pathwise moderate deviations for option pricing
- Short-time near-the-money skew in rough fractional volatility models
- A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
- The Randomized Heston Model
- The characteristic function of rough Heston models
