论文标题
具有非高斯波动率驱动力的分数波动率模型的大偏差
Large deviations for fractional volatility models with non-Gaussian volatility driver
论文作者
论文摘要
我们研究了随机波动率模型，其中波动率过程是连续分数随机过程的函数，这是满足Yamada-Watanabe条件的SDE溶液的积分转换。我们为log-price建立了一个小的大偏差原则，并且对于我们的设置的特殊情况，请获得对数呼叫价格渐近性的大罢工。
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.
