Gaussian stochastic volatility models: scaling regimes, large deviations, and moment explosions (Q2175333)
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scientific article; zbMATH DE number 7194636
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| English | Gaussian stochastic volatility models: scaling regimes, large deviations, and moment explosions |
scientific article; zbMATH DE number 7194636 |
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Gaussian stochastic volatility models: scaling regimes, large deviations, and moment explosions (English)
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29 April 2020
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Gaussian stochastic volatility models
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Volterra type models
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sample path large and moderate deviations
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central limit regime
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moment explosions
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implied volatility asymptotics
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0.8198198080062866
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0.814922034740448
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0.8021527528762817
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0.7926006317138672
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0.7908115386962891
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