Large-time option pricing using the Donsker-Varadhan LDP-correlated stochastic volatility with stochastic interest rates and jumps

DOI10.1214/16-AAP1189MaRDI QIDQ511485zbMATHOpenAlexFDO

Authors Martin Forde, Rohini Kumar

Publication date 21 February 2017

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

Full work available at URL https://projecteuclid.org/euclid.aoap/1481792597

zbMATH Keywords

[https://portal.mardi4nfdi.de/w/index.php?title=+Special%3ASearch&search=L%EF%BF%BD%EF%BF%BDvy+process&go=Go L��vy process]Ornstein-Uhlenbeck processlarge deviationsoccupation measuresstochastic volatility modelergodic processesimplied volatility asymptotics

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Monte Carlo methods (65C05) Derivative securities (option pricing, hedging, etc.) (91G20) Large deviations (60F10) Numerical methods (including Monte Carlo methods) (91G60) Diffusion processes (60J60) Continuous-time Markov processes on general state spaces (60J25) Applications of stochastic analysis (to PDEs, etc.) (60H30)

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Cited in

(5)

• Asymptotics of the time-discretized log-normal SABR model: the implied volatility surface
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• Large-time asymptotics for an uncorrelated stochastic volatility model
• MARKOVIAN STOCHASTIC VOLATILITY WITH STOCHASTIC CORRELATION — JOINT CALIBRATION AND CONSISTENCY OF SPX/VIX SHORT-MATURITY SMILES
• The Gärtner-Ellis theorem, homogenization, and affine processes

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