Large-time option pricing using the Donsker-Varadhan LDP-correlated stochastic volatility with stochastic interest rates and jumps (Q511485)
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scientific article; zbMATH DE number 6687422
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| 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)
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21 February 2017
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stochastic volatility model
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large deviations
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implied volatility asymptotics
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ergodic processes
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occupation measures
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Ornstein-Uhlenbeck process
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Lévy process
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0.8818503
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0.88176006
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0.87973595
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0.87507564
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0.87324965
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0.8726486
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0.8702502
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0.87003046
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