Large-time option pricing using the Donsker-Varadhan LDP-correlated stochastic volatility with stochastic interest rates and jumps

DOI10.1214/16-AAP1189zbMath1357.91047OpenAlexW2486444295MaRDI QIDQ511485

Rohini Kumar, Martin Forde

Publication date: 21 February 2017

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.aoap/1481792597

zbMATH Keywords

Ornstein-Uhlenbeck processlarge deviationsLévy processergodic processesoccupation measuresstochastic volatility modelimplied volatility asymptotics

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Numerical methods (including Monte Carlo methods) (91G60) Continuous-time Markov processes on general state spaces (60J25) Monte Carlo methods (65C05) Applications of stochastic analysis (to PDEs, etc.) (60H30) Diffusion processes (60J60) Large deviations (60F10) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (4)

ASYMPTOTICS OF THE TIME-DISCRETIZED LOG-NORMAL SABR MODEL: THE IMPLIED VOLATILITY SURFACE ⋮ The Gärtner-Ellis Theorem, Homogenization, and Affine Processes ⋮ Small‐time, large‐time, and asymptotics for the Rough Heston model ⋮ MARKOVIAN STOCHASTIC VOLATILITY WITH STOCHASTIC CORRELATION — JOINT CALIBRATION AND CONSISTENCY OF SPX/VIX SHORT-MATURITY SMILES

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