Precise asymptotics: robust stochastic volatility models

DOI10.1214/20-AAP1608zbMath1476.60183arXiv1811.00267MaRDI QIDQ2240838

Peter K. Friz, Paul Gassiat, Paolo Pigato

Publication date: 4 November 2021

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1811.00267

zbMATH Keywords

small-time asymptotics; rough paths; European option pricing; regularity structures; rough volatility

Mathematics Subject Classification ID

60G22: Fractional processes, including fractional Brownian motion

60H30: Applications of stochastic analysis (to PDEs, etc.)

60F10: Large deviations

91G20: Derivative securities (option pricing, hedging, etc.)

60G18: Self-similar stochastic processes

60L90: Applications of rough analysis

60L30: Regularity structures