Small-time moderate deviations for the randomised Heston model

DOI10.1017/JPR.2019.73MaRDI QIDQ5109487zbMATH OpenOpenAlexFDO

Authors Antoine Jacquier, Fangwei Shi

Publication date 12 May 2020

Published in Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1808.03548

zbMATH Keywords

asymptotic expansionHeston modelimplied volatilitymoderate deviationsstochastic volatility

Mathematics Subject Classification ID

Large deviations (60F10) Stochastic models in economics (91B70) Derivative securities (option pricing, hedging, etc.) (91G20)

Abstract: We extend previous large deviations results for the randomised Heston model to the case of moderate deviations. The proofs involve the G"artner-Ellis theorem and sharp large deviations tools.

Cites work

• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• A new look at short-term implied volatility in asset price models with jumps
• Asymptotic behavior of the fractional Heston model
• Asymptotics of implied volatility to arbitrary order
• Averaging principle of SDE with small diffusion: Moderate deviations
• Examples of moderate deviation principle for diffusion processes
• General smile asymptotics with bounded maturity
• scientific article; zbMATH DE number 43570 (Why is no real title available?)
• scientific article; zbMATH DE number 1158743 (Why is no real title available?)
• scientific article; zbMATH DE number 3285848 (Why is no real title available?)
• Moderate Deviations and Associated Laplace Approximations for Sums of Independent Random Vectors
• Moderate deviations for martingales with bounded jumps
• Moderate deviations of dependent random variables related to CLT
• On the short-time behavior of the implied volatility for jump-diffusion models with stochastic volatility
• On VIX futures in the rough Bergomi model
• Option pricing in the moderate deviations regime
• Pathwise moderate deviations for option pricing
• Pricing under rough volatility
• Probabilities of Moderate Deviations in a Banach Space
• Short-time at-the-money skew and rough fractional volatility
• Short-time near-the-money skew in rough fractional volatility models
• SMALL-TIME ASYMPTOTICS FOR IMPLIED VOLATILITY UNDER THE HESTON MODEL
• The characteristic function of rough Heston models
• The randomized Heston model
• Volatility is rough

Cited in

(1)

• Small-noise limit of the quasi-Gaussian log-normal HJM model

This page was built for publication: Small-time moderate deviations for the randomised Heston model

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5109487)