Small-time asymptotics for fast mean-reverting stochastic volatility models

Annals of Applied Probability

Volumn 22, Issue 4, 2012, Pages 1541-1575

  Feng, Jin ^a   Fouque, Jean Pierre ^b   Kumar, Rohini ^b  

^a UNIVERSITY OF KANSAS   (United States)

^b UNIVERSITY OF CALIFORNIA   (United States)

Author keywords

Implied volatility smile skew; Large deviation principle; Multi scale asymptotic; Stochastic volatility

Indexed keywords

EID: 84872682316     PISSN: 10505164     EISSN: None     Source Type: Journal    
DOI: 10.1214/11-AAP801     Document Type: Article

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