Time-inhomogeneous Gaussian stochastic volatility models: large deviations and super roughness (Q2048130): Difference between revisions
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Revision as of 23:20, 11 February 2024
scientific article
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| English | Time-inhomogeneous Gaussian stochastic volatility models: large deviations and super roughness |
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Time-inhomogeneous Gaussian stochastic volatility models: large deviations and super roughness (English)
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5 August 2021
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Gaussian stochastic volatility models
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super rough models
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sample path large deviation principle
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call options
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logarithmic model
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binary barrier options
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