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- W3013834692 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." @default.
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- W3013834692 date "2020-03-28" @default.
- W3013834692 modified "2023-09-27" @default.
- W3013834692 title "Large deviations for fractional volatility models with non-Gaussian volatility driver" @default.
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