Local Volatility, Conditioned Diffusions, and Varadhan's Formula

DOI10.1137/16M1092313zbMATH Open1410.91443OpenAlexW2810381742WikidataQ129649357 ScholiaQ129649357MaRDI QIDQ4579844FDOQ4579844

Peter 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

large deviationslocal volatilitystochastic volatilityconditional density asymptotics

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Large deviations (60F10)

Cites Work

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Cited In (5)

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

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