Pathwise asymptotics for Volterra type stochastic volatility models
Probability
2020-01-31 v6
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.
Cite
@article{arxiv.1902.05896,
title = {Pathwise asymptotics for Volterra type stochastic volatility models},
author = {M. Cellupica and B. Pacchiarotti},
journal= {arXiv preprint arXiv:1902.05896},
year = {2020}
}
Comments
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