Asymptotics for Rough Stochastic Volatility Models

DOI10.1137/15M1009330zbMath1422.91693arXiv1610.08878OpenAlexW3098490315MaRDI QIDQ2962133

Hongzhong Zhang, Martin Forde

Publication date: 16 February 2017

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1610.08878

zbMATH Keywords

fractional Brownian motionlarge deviationsrough pathsimplied volatility asymptoticsfractional stochastic volatility

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Large deviations (60F10) Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic analysis (60H99)

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