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- W4296980301 abstract "We introduce time-inhomogeneous stochastic volatility models, in which the volatility is described by a nonnegative function of a Volterra type continuous Gaussian process that may have very rough sample paths. The main results obtained in the paper are sample path and small-noise large deviation principles for the log-price process in a time-inhomogeneous super rough Gaussian model under very mild restrictions. We use these results to study the asymptotic behavior of binary barrier options, exit time probability functions, and call options." @default.
- W4296980301 created "2022-09-25" @default.
- W4296980301 creator A5067228319 @default.
- W4296980301 date "2020-02-12" @default.
- W4296980301 modified "2023-09-26" @default.
- W4296980301 title "Time-inhomogeneous Gaussian stochastic volatility models: Large deviations and super roughness" @default.
- W4296980301 doi "https://doi.org/10.48550/arxiv.2002.05143" @default.
- W4296980301 hasPublicationYear "2020" @default.
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