Time-inhomogeneous Gaussian stochastic volatility models: large deviations and super roughness (Q2048130): Difference between revisions

From MaRDI portal
RedirectionBot (talk | contribs)
Changed an Item
Import241208061232 (talk | contribs)
Normalize DOI.
 
(4 intermediate revisions by 4 users not shown)
Property / DOI
 
Property / DOI: 10.1016/j.spa.2021.04.012 / rank
Normal rank
 
Property / MaRDI profile type
 
Property / MaRDI profile type: MaRDI publication profile / rank
 
Normal rank
Property / OpenAlex ID
 
Property / OpenAlex ID: W3158935277 / rank
 
Normal rank
Property / arXiv ID
 
Property / arXiv ID: 2002.05143 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Large deviations and the Strassen theorem in Hölder norm / rank
 
Normal rank
Property / cites work
 
Property / cites work: General Freidlin-Wentzell large deviations and positive diffusions / rank
 
Normal rank
Property / cites work
 
Property / cites work: Pricing under rough volatility / rank
 
Normal rank
Property / cites work
 
Property / cites work: Short-time near-the-money skew in rough fractional volatility models / rank
 
Normal rank
Property / cites work
 
Property / cites work: Approximating a geometric fractional Brownian motion and related processes via discrete Wick calculus / rank
 
Normal rank
Property / cites work
 
Property / cites work: Stochastic Calculus for Fractional Brownian Motion and Applications / rank
 
Normal rank
Property / cites work
 
Property / cites work: The normal distribution. Characterizations with applications / rank
 
Normal rank
Property / cites work
 
Property / cites work: Pathwise asymptotics for Volterra type stochastic volatility models / rank
 
Normal rank
Property / cites work
 
Property / cites work: On Small-Noise Equations with Degenerate Limiting System Arising from Volatility Models / rank
 
Normal rank
Property / cites work
 
Property / cites work: Inequalities for increments of stochastic processes and moduli of continuity / rank
 
Normal rank
Property / cites work
 
Property / cites work: Stochastic analysis of the fractional Brownian motion / rank
 
Normal rank
Property / cites work
 
Property / cites work: A function space large deviation principle for certain stochastic integrals / rank
 
Normal rank
Property / cites work
 
Property / cites work: The sizes of compact subsets of Hilbert space and continuity of Gaussian processes / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q5338445 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4255465 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Asymptotics for Rough Stochastic Volatility Models / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4225410 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Large deviations and asymptotic methods in finance / rank
 
Normal rank
Property / cites work
 
Property / cites work: Correction to Black--Scholes Formula Due to Fractional Stochastic Volatility / rank
 
Normal rank
Property / cites work
 
Property / cites work: Option pricing under fast‐varying long‐memory stochastic volatility / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q5581156 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Analytically tractable stochastic stock price models. / rank
 
Normal rank
Property / cites work
 
Property / cites work: Large Deviation Principle for Volterra Type Fractional Stochastic Volatility Models / rank
 
Normal rank
Property / cites work
 
Property / cites work: Gaussian stochastic volatility models: scaling regimes, large deviations, and moment explosions / rank
 
Normal rank
Property / cites work
 
Property / cites work: Extreme-strike asymptotics for general Gaussian stochastic volatility models / rank
 
Normal rank
Property / cites work
 
Property / cites work: Asymptotic behaviour of randomised fractional volatility models / rank
 
Normal rank
Property / cites work
 
Property / cites work: On VIX futures in the rough Bergomi model / rank
 
Normal rank
Property / cites work
 
Property / cites work: Pathwise large deviations for the rough Bergomi model / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4002114 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Gaussian measures in Banach spaces / rank
 
Normal rank
Property / cites work
 
Property / cites work: Asymptotic properties of the fractional Brownian motion of Riemann-Liouville type / rank
 
Normal rank
Property / cites work
 
Property / cites work: Stochastic volatility models and Kelvin waves / rank
 
Normal rank
Property / cites work
 
Property / cites work: Fractional Brownian Motions, Fractional Noises and Applications / rank
 
Normal rank
Property / cites work
 
Property / cites work: Markov Processes, Gaussian Processes, and Local Times / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4158244 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Skorohod integration and stochastic calculus beyond the fractional Brownian scale / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q5571417 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Representation Formulae for the Fractional Brownian Motion / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4226355 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Sample path large deviations and optimal importance sampling for stochastic volatility models / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4340096 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Stochastic Volatility With an Ornstein–Uhlenbeck Process: An Extension / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4679021 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Stock Price Distributions with Stochastic Volatility: An Analytic Approach / rank
 
Normal rank
Property / cites work
 
Property / cites work: Asymptotic Expansion Approach in Finance / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4040351 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Diffusion processes in a small time interval / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q3341599 / rank
 
Normal rank
Property / cites work
 
Property / cites work: ON SMALL RANDOM PERTURBATIONS OF DYNAMICAL SYSTEMS / rank
 
Normal rank
Property / cites work
 
Property / cites work: Some Problems Concerning Stability under Small Random Perturbations / rank
 
Normal rank
Property / cites work
 
Property / cites work: The stochastic Fubini theorem revisited / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4107673 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Euler schemes and large deviations for stochastic Volterra equations with singular kernels / rank
 
Normal rank
Property / DOI
 
Property / DOI: 10.1016/J.SPA.2021.04.012 / rank
 
Normal rank

Latest revision as of 21:27, 16 December 2024

scientific article
Language Label Description Also known as
English
Time-inhomogeneous Gaussian stochastic volatility models: large deviations and super roughness
scientific article

    Statements

    Time-inhomogeneous Gaussian stochastic volatility models: large deviations and super roughness (English)
    0 references
    5 August 2021
    0 references
    Gaussian stochastic volatility models
    0 references
    super rough models
    0 references
    sample path large deviation principle
    0 references
    call options
    0 references
    logarithmic model
    0 references
    binary barrier options
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references

    Identifiers

    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references