ASYMPTOTIC BEHAVIOR OF DISTRIBUTION DENSITIES IN MODELS WITH STOCHASTIC VOLATILITY. I

DOI10.1111/j.1467-9965.2010.00406.xzbMath1198.91247MaRDI QIDQ3576957

Elias M. Stein, Archil Gulisashvili

Publication date: 3 August 2010

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9965.2010.00406.x

zbMATH Keywords

asymptotic formulas; Asian options; Hull-White model; mixing distribution density; stock price distribution density

Mathematics Subject Classification ID

91G80: Financial applications of other theories

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

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Large Deviation Principle for Volterra Type Fractional Stochastic Volatility Models, On dependence of volatility on return for stochastic volatility models, THE LARGE-MATURITY SMILE FOR THE SABR AND CEV-HESTON MODELS, Pricing variance swaps under stochastic volatility and stochastic interest rate, Asymptotic behavior of the stock price distribution density and implied volatility in stochastic volatility models, The large-maturity smile for the Stein-Stein model, ASYMPTOTIC EQUIVALENCE IN LEE'S MOMENT FORMULAS FOR THE IMPLIED VOLATILITY, ASSET PRICE MODELS WITHOUT MOMENT EXPLOSIONS, AND PITERBARG'S CONJECTURE, Two-Sided Estimates for Distribution Densities in Models with Jumps, The Hartman-Watson Distribution Revisited: Asymptotics for Pricing Asian Options, IMPLIED VOLATILITY IN THE HULL-WHITE MODEL

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