Time-inhomogeneous Gaussian stochastic volatility models: large deviations and super roughness

DOI10.1016/j.spa.2021.04.012zbMath1475.60059arXiv2002.05143OpenAlexW3158935277MaRDI QIDQ2048130

Archil Gulisashvili

Publication date: 5 August 2021

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2002.05143

zbMATH Keywords

call optionslogarithmic modelbinary barrier optionsGaussian stochastic volatility modelssample path large deviation principlesuper rough models

Mathematics Subject Classification ID

Gaussian processes (60G15) Fractional processes, including fractional Brownian motion (60G22) Microeconomic theory (price theory and economic markets) (91B24) Large deviations (60F10) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (7)

Empirical analysis of rough and classical stochastic volatility models to the SPX and VIX markets ⋮ Short-dated smile under rough volatility: asymptotics and numerics ⋮ Asymptotics for multifactor Volterra type stochastic volatility models ⋮ Large deviation principles for stochastic volatility models with reflection ⋮ Tauberian Korevaar ⋮ Large deviations for fractional volatility models with non-Gaussian volatility driver ⋮ C∞− regularization of ODEs perturbed by noise

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