We study stochastic volatility models in which the volatility process is a positive continuous function of a continuous Volterra stochastic process. We state some pathwise large deviation principles for the scaled log-price.
Cellupica, M., Pacchiarotti, B. (2021). Pathwise asymptotics for Volterra type stochastic volatility models. JOURNAL OF THEORETICAL PROBABILITY, 34(2), 682-727 [10.1007/s10959-020-00992-4].
Pathwise asymptotics for Volterra type stochastic volatility models
Pacchiarotti, B
2021-01-01
Abstract
We study stochastic volatility models in which the volatility process is a positive continuous function of a continuous Volterra stochastic process. We state some pathwise large deviation principles for the scaled log-price.File in questo prodotto:
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