Time-inhomogeneous Gaussian stochastic volatility models: Large deviations and super roughness-Reference-Cited by-同舟云学术

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Time-inhomogeneous Gaussian stochastic volatility models: Large deviations and super roughness

Published:2021-09 Issue: Volume:139 Page:37-79
ISSN:0304-4149
Container-title:Stochastic Processes and their Applications
language:en
Short-container-title:Stochastic Processes and their Applications

Author:

Gulisashvili Archil

Publisher

Elsevier BV

Subject

Applied Mathematics,Modeling and Simulation,Statistics and Probability

Reference63 articles.

1. Large deviations and the Strassen theorem in Hölder norm;Baldi;Stochastic Process. Appl.,1992

2. General Freidlin–Wentzell large deviations and positive diffusions;Baldi;Statist. Probab. Lett.,2011

3. Stochastic volatility option pricing;Ball;J. Financ. Quant. Anal.,1994

4. Pricing under rough volatility;Bayer;Quant. Finance,2016

5. Short-time near-the-money skew in rough fractional volatility models;Bayer;Quant. Finance,2019

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1. Large and moderate deviations for importance sampling in the Heston model;Annals of Operations Research;2023-06-22

2. Large Deviation Principles for Stochastic Volatility Models with Reflection;Applied Mathematics & Optimization;2023-06-09

3. Short-Time Asymptotics for Non-Self-Similar Stochastic Volatility Models;Applied Mathematical Finance;2023-05-04

4. Tauberian Korevaar;Indagationes Mathematicae;2023-03

5. Asymptotics for multifactor Volterra type stochastic volatility models;Stochastic Analysis and Applications;2022-09-13

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