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

DOI10.1214/16-AAP1189MaRDI QIDQ511485zbMATH OpenOpenAlexFDO

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)

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

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