Large-time asymptotics for an uncorrelated stochastic volatility model

DOI10.1016/j.spl.2011.03.021zbMath1225.60052OpenAlexW1990202607MaRDI QIDQ553048

Martin Forde

Publication date: 26 July 2011

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2011.03.021

zbMATH Keywords

stochastic volatilityDonsker-Varadhan large deviations for occupation measureslarge-time implied volatility asymptotics

Mathematics Subject Classification ID

Large deviations (60F10) Financial applications of other theories (91G80)

Related Items (5)

ASYMPTOTICS OF THE TIME-DISCRETIZED LOG-NORMAL SABR MODEL: THE IMPLIED VOLATILITY SURFACE ⋮ Small‐time, large‐time, and asymptotics for the Rough Heston model ⋮ The large-maturity smile for the Stein-Stein model ⋮ Option pricing under hybrid stochastic and local volatility ⋮ THE SMALL AND LARGE TIME IMPLIED VOLATILITIES IN THE MINIMAL MARKET MODEL

Cites Work

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• Small-time asymptotics for fast mean-reverting stochastic volatility models
• Asymptotic evaluation of certain markov process expectations for large time, I
• Asymptotic evaluation of certain markov process expectations for large time, II
• Asymptotic evaluation of certain Markov process expectations for large time—III
• On a Variational Formula for the Principal Eigenvalue for Operators with Maximum Principle
• An introduction to the theory of large deviations

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