Small-time asymptotics for fast mean-reverting stochastic volatility models
From MaRDI portal
Publication:453246
DOI10.1214/11-AAP801zbMath1266.60049arXiv1009.2782MaRDI QIDQ453246
Jin Feng, Jean-Pierre Fouque, Rohini Kumar
Publication date: 19 September 2012
Published in: The Annals of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1009.2782
stochastic volatility; large deviation principle; implied volatility smile/skew; multi-scale asymptotic
91B70: Stochastic models in economics
60F10: Large deviations
49L25: Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games
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