Local Volatility, Conditioned Diffusions, and Varadhan's Formula

DOI10.1137/16M1092313zbMath1410.91443MaRDI QIDQ4579844

Peter K. Friz, Stefano De Marco

Publication date: 10 August 2018

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

Full work available at URL: https://doi.org/10.1137/16m1092313

zbMATH Keywords

stochastic volatility; large deviations; local volatility; conditional density asymptotics

Mathematics Subject Classification ID

60F10: Large deviations

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

Related Items

Reconstructing volatility: Pricing of index options under rough volatility, Local volatility under rough volatility, Precise asymptotics: robust stochastic volatility models, A Yosida's parametrix approach to Varadhan's estimates for a degenerate diffusion under the weak Hörmander condition, FUNCTIONAL ANALYTIC (IR-)REGULARITY PROPERTIES OF SABR-TYPE PROCESSES

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