Large-time option pricing using the Donsker-Varadhan LDP-correlated stochastic volatility with stochastic interest rates and jumps (Q511485)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Large-time option pricing using the Donsker-Varadhan LDP-correlated stochastic volatility with stochastic interest rates and jumps |
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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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