Large deviation principles for stochastic volatility models with reflection

DOI10.1007/S00245-023-10021-5MaRDI QIDQ6111035zbMATH OpenFDO

Authors Archil Gulisashvili

Publication date 6 July 2023

Published in Applied Mathematics and Optimization (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/S00245-023-10021-5

zbMATH Keywords

binary barrier optionscall pricing functionslarge deviation principlesreflecting diffusionsstochastic volatility models with reflection

Mathematics Subject Classification ID

Large deviations (60F10) Diffusion processes (60J60) Stochastic models in economics (91B70) Derivative securities (option pricing, hedging, etc.) (91G20)

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Cited in

(6)

• Pathwise asymptotics for Volterra type stochastic volatility models
• Time-inhomogeneous Gaussian stochastic volatility models: large deviations and super roughness
• Large deviation principle for Volterra type fractional stochastic volatility models
• Problem of first passage time of a reflected stochastic volatility model
• Long-Time Trajectorial Large Deviations and Importance Sampling for Affine Stochastic Volatility Models
• Large-time asymptotics for an uncorrelated stochastic volatility model

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