Small-time asymptotics for Gaussian self-similar stochastic volatility models

DOI10.1007/S00245-018-9497-6zbMath1464.60033arXiv1505.05256OpenAlexW622699404MaRDI QIDQ781554

Xin Zhang, Archil Gulisashvili, Frederi G. Viens

Publication date: 17 July 2020

Published in: Applied Mathematics and Optimization (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1505.05256

zbMATH Keywords

small-time asymptoticsimplied volatilitystochastic volatility modelsKarhunen-Loève expansionsGaussian self-similar volatility

Mathematics Subject Classification ID

Gaussian processes (60G15) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (8)

Path dependent Feynman-Kac formula for forward backward stochastic Volterra integral equations ⋮ Extreme-strike asymptotics for general Gaussian stochastic volatility models ⋮ Large deviation principles for stochastic volatility models with reflection ⋮ A partial rough path space for rough volatility ⋮ Optimal Hedging Under Fast-Varying Stochastic Volatility ⋮ Pathwise asymptotics for Volterra type stochastic volatility models ⋮ A martingale approach for fractional Brownian motions and related path dependent PDEs ⋮ Asymptotic behaviour of randomised fractional volatility models

Uses Software

• NDSolve

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