Short-Time Asymptotics for Non-Self-Similar Stochastic Volatility Models
Author:
Affiliation:
1. Department of Mathematics, University of Rome Tor Vergata, Roma, Italy
2. Department of Economics and Finance, University of Rome Tor Vergata, Roma, Italy
Funder
INdAM-GNAMPA
University of Rome Tor Vergata
Publisher
Informa UK Limited
Link
https://www.tandfonline.com/doi/pdf/10.1080/1350486X.2023.2299467
Reference57 articles.
1. Implied Stochastic Volatility Models
2. On the Curvature of the Smile in Stochastic Volatility Models
3. On the short-time behavior of the implied volatility for jump-diffusion models with stochastic volatility
4. Atkinson K. E. 2008. An Introduction to Numerical Analysis. 2nd ed. New York: Wiley India Pvt. Limited.
5. Baldi P. and Pacchiarotti B. 2022. “Large Deviations of Continuous Gaussian Processes: From Small Noise to Small Time.” Preprint arXiv:2207.12037.
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