Large deviations for fractional volatility models with non-Gaussian\n volatility driver

2020/03/28 by Stefan Gerhold, Gerhold, Stefan, Christoph Gerstenecker +3
Economics, Econometrics and Finance · Mathematics · #60F10 #60G22 #91G20 #FOS: Economics and business #FOS: Mathematics #Financial Risk and Volatility Modeling #Mathematical Finance (q-fin.MF) #Probability (math.PR) #Stochastic processes and financial applications #Stochastic processes and statistical mechanics

paper · pdf · doi:10.48550/arxiv.2003.12825

openalex publication_date 2020/03/28 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28

Abstract

We study stochastic volatility models in which the volatility process is a\nfunction of a continuous fractional stochastic process, which is an integral\ntransform of the solution of an SDE satisfying the Yamada-Watanabe condition.\nWe establish a small-noise large deviation principle for the log-price, and,\nfor a special case of our setup, obtain logarithmic call price asymptotics for\nlarge strikes.\n

Related

• Large deviation principle for Volterra type fractional stochastic volatility models
• Pathwise asymptotics for Volterra type stochastic volatility models
• Multivariate Stochastic Volatility Models and Large Deviation Principles
• Short-time asymptotics for non self-similar stochastic volatility models
• Gaussian stochastic volatility models: Scaling regimes, large\n deviations, and moment explosions