The asymptotic smile of a multiscaling stochastic volatility model

DOI10.1016/j.spa.2017.06.014zbMath1390.60099arXiv1501.03387OpenAlexW2963433235MaRDI QIDQ681999

Francesco Caravenna, Jacopo Corbetta

Publication date: 13 February 2018

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1501.03387

zbMATH Keywords

tail probabilitylarge deviationsoption priceimplied volatilitystochastic volatility modelmultiscaling of moments

Mathematics Subject Classification ID

Related Items (4)

Multi-scaling of moments in stochastic volatility models ⋮ Extreme at-the-money skew in a local volatility model ⋮ Asymptotic behaviour of randomised fractional volatility models ⋮ General Smile Asymptotics with Bounded Maturity

Uses Software

• R

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