Long-Time Trajectorial Large Deviations and Importance Sampling for Affine Stochastic Volatility Models

DOI10.1017/APR.2020.58OpenAlexW3138921830MaRDI QIDQ5022286FDOQ5022286

Authors: Zorana Grbac, David Krief, Peter Tankov 

Publication date: 18 January 2022

Published in: Advances in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/apr.2020.58

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zbMATH Keywords

importance samplinglarge deviationsMonte Carlo methodsaffine stochastic volatility

Mathematics Subject Classification ID

Large deviations (60F10) Numerical methods (including Monte Carlo methods) (91G60)

Cites Work

• Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics. (With discussion)
• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• Processes of normal inverse Gaussian type
• Affine processes and applications in finance
• Title not available (Why is that?)
• Title not available (Why is that?)
• Integrals which are convex functionals. II
• Asymptotically optimal importance sampling and stratification for pricing path-dependent options
• Importance Sampling, Large Deviations, and Differential Games
• Moment explosions and long-term behavior of affine stochastic volatility models
• Large deviations for Poisson random measures and processes with independent increments
• Sample path large deviations and optimal importance sampling for stochastic volatility models
• Optimal importance sampling with explicit formulas in continuous time
• Subsolutions of an Isaacs Equation and Efficient Schemes for Importance Sampling
• Optimal importance sampling for Lévy processes
• Large deviations and stochastic volatility with jumps: asymptotic implied volatility for affine models

Cited In (2)

• Long-time large deviations for the multiasset Wishart stochastic volatility model and option pricing
• Sample path large deviations and optimal importance sampling for stochastic volatility models

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