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arXiv · 1902.05896

Pathwise asymptotics for Volterra type stochastic volatility models

M. Cellupica·B. Pacchiarotti
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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.

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BibTeXRIS

M. Cellupica, B. Pacchiarotti. 2019-02-15. Pathwise asymptotics for Volterra type stochastic volatility models. https://arxiv.org/abs/1902.05896

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