Large-time option pricing using the Donsker-Varadhan LDP-correlated stochastic volatility with stochastic interest rates and jumps (Q511485)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: Large-time option pricing using the Donsker-Varadhan LDP-correlated stochastic volatility with stochastic interest rates and jumps |
scientific article; zbMATH DE number 6687422
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | Large-time option pricing using the Donsker-Varadhan LDP-correlated stochastic volatility with stochastic interest rates and jumps |
scientific article; zbMATH DE number 6687422 |
Statements
Large-time option pricing using the Donsker-Varadhan LDP-correlated stochastic volatility with stochastic interest rates and jumps (English)
0 references
21 February 2017
0 references
stochastic volatility model
0 references
large deviations
0 references
implied volatility asymptotics
0 references
ergodic processes
0 references
occupation measures
0 references
Ornstein-Uhlenbeck process
0 references
Lévy process
0 references
0.8818503
0 references
0.87973595
0 references
0.87507564
0 references
0.8726486
0 references
0.8702502
0 references
0.87003046
0 references
