Asymptotic behaviour of randomised fractional volatility models

DOI10.1017/jpr.2019.27zbMath1465.60071arXiv1708.01121OpenAlexW2965206581MaRDI QIDQ5226253

Blanka Horvath, Antoine Jacquier, Chloe Lacombe

Publication date: 31 July 2019

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

Full work available at URL: https://arxiv.org/abs/1708.01121

zbMATH Keywords

large deviationsimplied volatility asymptoticsrough volatility

Mathematics Subject Classification ID

Gaussian processes (60G15) Fractional processes, including fractional Brownian motion (60G22) Stochastic models in economics (91B70) Diffusion processes (60J60) Large deviations (60F10)

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