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arXiv · 2003.12825

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

Stefan Gerhold·Christoph Gerstenecker·Archil Gulisashvili
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Abstract

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

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Stefan Gerhold, Christoph Gerstenecker, Archil Gulisashvili. 2020-03-28. Large deviations for fractional volatility models with non-Gaussian volatility driver. https://arxiv.org/abs/2003.12825

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