The large-maturity smile for the Stein-Stein model

DOI10.1016/j.spl.2014.04.009zbMath1296.91211OpenAlexW1964665354MaRDI QIDQ2454008

Martin Forde

Publication date: 12 June 2014

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2014.04.009

zbMATH Keywords

stochastic volatilitylarge deviationsimplied volatility smileGärtner-Ellis theoremStein-Stein model

Mathematics Subject Classification ID

Characteristic functions; other transforms (60E10) Stochastic models in economics (91B70) Applications of stochastic analysis (to PDEs, etc.) (60H30) Large deviations (60F10)

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