Large-time option pricing using the Donsker-Varadhan LDP-correlated stochastic volatility with stochastic interest rates and jumps
DOI10.1214/16-AAP1189zbMATH Open1357.91047OpenAlexW2486444295MaRDI QIDQ511485FDOQ511485
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
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[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
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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- ASYMPTOTICS OF THE TIME-DISCRETIZED LOG-NORMAL SABR MODEL: THE IMPLIED VOLATILITY SURFACE
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- The Gärtner-Ellis Theorem, Homogenization, and Affine Processes
- Small‐time, large‐time, and asymptotics for the Rough Heston model
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