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Small-Time Asymptotics for Gaussian Self-Similar Stochastic Volatility Models · Study

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ArticleSmall-Time Asymptotics for Gaussian Self-Similar Stochastic Volatility Models

Archil Gulisashvili2018

Article2018

Small-Time Asymptotics for Gaussian Self-Similar Stochastic Volatility Models

Archil Gulisashvili · Frederi G Viens · Xin Zhang

21 citations·0/0 files stored·Applied Mathematics & Optimization

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Stochastic processes and financial applications Financial Markets and Investment Strategies Financial Risk and Volatility Modeling

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References

1991Stock Price Distributions with Stochastic Volatility: An Analytic Approach 2000Derivatives in Financial Markets with Stochastic Volatility 2018Volatility Is Rough 1998Long memory in continuous‐time stochastic volatility models 2004THE MOMENT FORMULA FOR IMPLIED VOLATILITY AT EXTREME STRIKES 2011Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives 2012Selected Aspects of Fractional Brownian Motion 2007On the short-time behavior of the implied volatility for jump-diffusion models with stochastic volatility

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2018Extreme-strike asymptotics for general Gaussian stochastic volatility models

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Year2018

Typearticle

Published2018-04-29

VenueApplied Mathematics & Optimization

ISSN-L0095-4616

Languageen

Citations21

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1007/s00245-018-9497-6

openalex_workW622699404

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