Small-time asymptotics for fast mean-reverting stochastic volatility models

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

zbMATH Keywords

stochastic volatility; large deviation principle; implied volatility smile/skew; multi-scale asymptotic

Mathematics Subject Classification ID

91B70: Stochastic models in economics

60F10: Large deviations

49L25: Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games

Related Items

Viscosity methods for large deviations estimates of multiscale stochastic processes, Discrete-Time Statistical Inference for Multiscale Diffusions, SMALL-TIME ASYMPTOTICS IN GEOMETRIC ASIAN OPTIONS FOR A STOCHASTIC VOLATILITY JUMP-DIFFUSION MODEL, SHORT MATURITY ASIAN OPTIONS FOR THE CEV MODEL, Discrete-Time Inference for Slow-Fast Systems Driven by Fractional Brownian Motion, Large deviation for two-time-scale stochastic burgers equation, HIGH‐ORDER SHORT‐TIME EXPANSIONS FOR ATM OPTION PRICES OF EXPONENTIAL LÉVY MODELS, Small noise asymptotics of multi-scale McKean-Vlasov stochastic dynamical systems, MARKOVIAN STOCHASTIC VOLATILITY WITH STOCHASTIC CORRELATION — JOINT CALIBRATION AND CONSISTENCY OF SPX/VIX SHORT-MATURITY SMILES, Averaging principle for two time-scale regime-switching processes, Singular perturbations in stochastic optimal control with unbounded data, Asymptotic behavior of multiscale stochastic partial differential equations with Hölder coefficients, Large deviations for some fast stochastic volatility models by viscosity methods, Maximum likelihood estimation for small noise multiscale diffusions, Large deviations for multi-scale jump-diffusion processes, Large-time asymptotics for an uncorrelated stochastic volatility model, Statistical inference for perturbed multiscale dynamical systems, Small-time asymptotics for Gaussian self-similar stochastic volatility models, Large deviations and importance sampling for systems of slow-fast motion, Averaging principle and normal deviations for multiscale stochastic systems, Comparison principle for Hamilton-Jacobi-Bellman equations via a bootstrapping procedure, Small time asymptotics for SPDEs with locally monotone coefficients, A general convergence result for viscosity solutions of Hamilton-Jacobi equations and non-linear semigroups, Large deviations for interacting multiscale particle systems, Large deviations for a slow-fast system with jump-diffusion processes, Path-space moderate deviations for a Curie-Weiss model of self-organized criticality, Large deviations of Markov chains with multiple time-scales, Short Maturity Asian Options in Local Volatility Models

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Martingale problems for large deviations of Markov processes
• Large deviations asymptotics and the spectral theory of multiplicatively regular Markov proces\-ses
• Application of large deviation methods to the pricing of index options in finance.
• Controlled Markov processes and viscosity solutions
• Computing the implied volatility in stochastic volatility models
• Analysis, Geometry, and Modeling in Finance
• Short-Maturity Asymptotics for a Fast Mean-Reverting Heston Stochastic Volatility Model
• Convergence by Viscosity Methods in Multiscale Financial Models with Stochastic Volatility
• SMALL-TIME ASYMPTOTICS FOR IMPLIED VOLATILITY UNDER THE HESTON MODEL
• User’s guide to viscosity solutions of second order partial differential equations
• Transform Analysis and Asset Pricing for Affine Jump-diffusions
• Multiscale Stochastic Volatility Asymptotics
• An introduction to the theory of large deviations