Large deviation principle for Volterra type fractional stochastic volatility models (Q4553805)
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scientific article; zbMATH DE number 6969773
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| English | Large deviation principle for Volterra type fractional stochastic volatility models |
scientific article; zbMATH DE number 6969773 |
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Large Deviation Principle for Volterra Type Fractional Stochastic Volatility Models (English)
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31 October 2018
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large deviations
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Volterra type Gaussian processes
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fractional stochastic volatility models
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self-similarity
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implied volatility
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0.8648769855499268
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0.8560879826545715
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0.8475250005722046
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0.8203130960464478
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0.8055285215377808
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