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- W2899058947 abstract "We present a new methodology to analyze large classes of (classical and rough) stochastic volatility models, with special regard to short-time and small noise formulae for option prices. Our main tool is the theory of regularity structures, which we use in the form of [Bayer et al; A regularity structure for rough volatility, 2017]. In essence, we implement a Laplace method on the space of models (in the sense of Hairer), which generalizes classical works of Azencott and Ben Arous on path space and then Aida, Inahama--Kawabi on rough path space. When applied to rough volatility models, e.g. in the setting of [Forde-Zhang, Asymptotics for rough stochastic volatility models, 2017], one obtains precise asymptotic for European options which refine known large deviation asymptotics." @default.
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- W2899058947 date "2021-04-01" @default.
- W2899058947 modified "2023-10-18" @default.
- W2899058947 title "Precise asymptotics: Robust stochastic volatility models" @default.
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- W2899058947 doi "https://doi.org/10.1214/20-aap1608" @default.
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