Large deviations for fractional volatility models with non-Gaussian volatility driver
Probability
2020-03-31 v1 Mathematical Finance
Abstract
We study stochastic volatility models in which the volatility process is a function of a continuous fractional stochastic process, which is an integral transform of the solution of an SDE satisfying the Yamada-Watanabe condition. We establish a small-noise large deviation principle for the log-price, and, for a special case of our setup, obtain logarithmic call price asymptotics for large strikes.
Cite
@article{arxiv.2003.12825,
title = {Large deviations for fractional volatility models with non-Gaussian volatility driver},
author = {Stefan Gerhold and Christoph Gerstenecker and Archil Gulisashvili},
journal= {arXiv preprint arXiv:2003.12825},
year = {2020}
}