Large deviations and stochastic volatility with jumps: asymptotic implied volatility for affine models

DOI10.1080/17442508.2012.720687zbMath1298.91166arXiv1108.3998OpenAlexW3122918318MaRDI QIDQ5411908

Antoine Jacquier, Martin Keller-Ressel, Aleksandar Mijatović

Publication date: 25 April 2014

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1108.3998

zbMATH Keywords

large deviation principleaffine stochastic volatility processasymptotic implied volatilitylimiting smilestochastic volatility with jumps

Mathematics Subject Classification ID

Stochastic models in economics (91B70) Large deviations (60F10) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (17)

On the Valuation of Discrete Asian Options in High Volatility Environments ⋮ Large deviations for the extended Heston model: the large-time case ⋮ Asymptotic Behavior of the Fractional Heston Model ⋮ Black-Scholes in a CEV random environment ⋮ Pathwise large deviations for the rough Bergomi model ⋮ A comparison principle between rough and non-rough Heston models—with applications to the volatility surface ⋮ The large-maturity smile for the Stein-Stein model ⋮ OPTION PRICING UNDER THE FRACTIONAL STOCHASTIC VOLATILITY MODEL ⋮ The Randomized Heston Model ⋮ Pricing options under stochastic volatility jump model: a stable adaptive scheme ⋮ Large-maturity regimes of the Heston forward smile ⋮ Long-Time Large Deviations for the Multiasset Wishart Stochastic Volatility Model and Option Pricing ⋮ Asymptotic behaviour of randomised fractional volatility models ⋮ General Smile Asymptotics with Bounded Maturity ⋮ A PDE method for estimation of implied volatility ⋮ Asymptotics of Forward Implied Volatility ⋮ Long-Time Trajectorial Large Deviations and Importance Sampling for Affine Stochastic Volatility Models

Cites Work

• Unnamed Item
• Unnamed Item
• The large-maturity smile for the Heston model
• A note on essential smoothness in the Heston model
• Affine processes and applications in finance
• Post-'87 crash fears in the S\&P 500 futures option market
• Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics
• Asymptotic formulae for implied volatility in the Heston model
• MOMENT EXPLOSIONS AND LONG-TERM BEHAVIOR OF AFFINE STOCHASTIC VOLATILITY MODELS
• Asymptotics of Implied Volatility far from Maturity
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Convex Analysis

This page was built for publication: Large deviations and stochastic volatility with jumps: asymptotic implied volatility for affine models