Large-time asymptotics for an uncorrelated stochastic volatility model

DOI10.1016/J.SPL.2011.03.021MaRDI QIDQ553048zbMATH OpenOpenAlexFDO

Authors Martin Forde

Publication date 26 July 2011

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.spl.2011.03.021

zbMATH Keywords

stochastic volatilityDonsker-Varadhan large deviations for occupation measureslarge-time implied volatility asymptotics

Mathematics Subject Classification ID

Large deviations (60F10) Financial applications of other theories (91G80)

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Cites work

• An introduction to the theory of large deviations
• Asymptotic evaluation of certain Markov process expectations for large time—III
• Asymptotic evaluation of certain markov process expectations for large time, I
• Asymptotic evaluation of certain markov process expectations for large time, II
• Large deviations for stochastic processes.
• On a Variational Formula for the Principal Eigenvalue for Operators with Maximum Principle
• Small-time asymptotics for fast mean-reverting stochastic volatility models

Cited in

(8)

• The small and large time implied volatilities in the minimal market model
• The large-maturity smile for the Stein-Stein model
• Pathwise asymptotics for Volterra type stochastic volatility models
• Small-Time Asymptotics for an Uncorrelated Local-Stochastic Volatility Model
• Option pricing under hybrid stochastic and local volatility
• Large deviation principles for stochastic volatility models with reflection
• 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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