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Small-time asymptotics for an uncorrelated local-stochastic volatility model

Please always quote using this URN:urn:nbn:de:0296-matheon-8522
  • Using Freidlin-Wentzell sample path large deviations theory, we characterise the small-time behaviour of probabilities of a process following an uncorrelated local-stochastic volatility model. As a corollary, we determine the small-maturity behaviour of the implied volatility under this class of processes.

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Metadaten
Author:Antoine Jacquier
URN:urn:nbn:de:0296-matheon-8522
Referee:Peter Karl Friz
Document Type:Preprint, Research Center Matheon
Language:English
Date of first Publication:2011/06/21
Release Date:2011/06/21
Tag:
Institute:Technische Universität Berlin
MSC-Classification:60-XX PROBABILITY THEORY AND STOCHASTIC PROCESSES (For additional applications, see 11Kxx, 62-XX, 90-XX, 91-XX, 92-XX, 93-XX, 94-XX)
Preprint Number:796
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