We study multidimensional stochastic volatility models in which the volatility process is a positive continuous function of a continuous multidimensional Volterra process that can be not self-similar. The main results obtained in this paper are a generalization of the results due, in the one-dimensional case, to Cellupica and Pacchiarotti (J. Theor. Probab. 34(2):682-727). We state some (pathwise and finite-dimensional) large deviation principles for the scaled log-price and as a consequence some (pathwise and finite-dimensional) short-time large deviation principles.
Catalini, G., Pacchiarotti, B. (2023). Asymptotics for multifactor Volterra type stochastic volatility models. STOCHASTIC ANALYSIS AND APPLICATIONS, 41(6), 1025-1055 [10.1080/07362994.2022.2120012].
Asymptotics for multifactor Volterra type stochastic volatility models
Catalini G.;Pacchiarotti B.
2023-01-01
Abstract
We study multidimensional stochastic volatility models in which the volatility process is a positive continuous function of a continuous multidimensional Volterra process that can be not self-similar. The main results obtained in this paper are a generalization of the results due, in the one-dimensional case, to Cellupica and Pacchiarotti (J. Theor. Probab. 34(2):682-727). We state some (pathwise and finite-dimensional) large deviation principles for the scaled log-price and as a consequence some (pathwise and finite-dimensional) short-time large deviation principles.I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.
