Small-time asymptotics for fast mean-reverting stochastic volatility models

DOI10.1214/11-AAP801zbMath1266.60049arXiv1009.2782OpenAlexW2152440283MaRDI QIDQ453246

Jin Feng, Jean-Pierre Fouque, Rohini Kumar

Publication date: 19 September 2012

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

Full work available at URL: https://arxiv.org/abs/1009.2782

zbMATH Keywords

stochastic volatilitylarge deviation principleimplied volatility smile/skewmulti-scale asymptotic

Mathematics Subject Classification ID

Stochastic models in economics (91B70) Large deviations (60F10) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25)

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