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.
Author: | Antoine Jacquier |
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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 |