Asymptotics for the Euler-discretized Hull-White stochastic volatility model

DOI10.1007/s11009-017-9548-5zbMath1390.60258arXiv1707.00899OpenAlexW2593038022MaRDI QIDQ1703031

Lingjiong Zhu, Dan Pirjol

Publication date: 1 March 2018

Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1707.00899

zbMATH Keywords

phase transitionscritical exponentlarge deviationscentral limit theoremsLyapunov exponentlinear stochastic recursion

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Applications of stochastic analysis (to PDEs, etc.) (60H30) Large deviations (60F10) Phase transitions (general) in equilibrium statistical mechanics (82B26) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35)

Related Items

ASYMPTOTICS OF THE TIME-DISCRETIZED LOG-NORMAL SABR MODEL: THE IMPLIED VOLATILITY SURFACE, Expressions of forward starting option price in Hull-White stochastic volatility model, A VOLATILITY-OF-VOLATILITY EXPANSION OF THE OPTION PRICES IN THE SABR STOCHASTIC VOLATILITY MODEL, Moderate deviations for Euler-Maruyama approximation of Hull-White stochastic volatility model

Uses Software

• Mathematica

Cites Work

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