Small-time asymptotics for Gaussian self-similar stochastic volatility models
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Publication:781554
DOI10.1007/s00245-018-9497-6zbMath1464.60033arXiv1505.05256OpenAlexW622699404MaRDI QIDQ781554
Xin Zhang, Archil Gulisashvili, Frederi G. Viens
Publication date: 17 July 2020
Published in: Applied Mathematics and Optimization (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1505.05256
small-time asymptoticsimplied volatilitystochastic volatility modelsKarhunen-Loève expansionsGaussian self-similar volatility
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