Large-time asymptotics for an uncorrelated stochastic volatility model (Q553048)
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scientific article; zbMATH DE number 5932083
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| English | Large-time asymptotics for an uncorrelated stochastic volatility model |
scientific article; zbMATH DE number 5932083 |
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Large-time asymptotics for an uncorrelated stochastic volatility model (English)
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26 July 2011
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stochastic volatility
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Donsker-Varadhan large deviations for occupation measures
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large-time implied volatility asymptotics
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0.8450103998184204
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0.809149444103241
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0.8029325008392334
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0.799110472202301
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0.792348325252533
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