Asymptotics for multifactor Volterra type stochastic volatility models
نویسندگان
چکیده
We study multidimensional stochastic volatility models in which the process is a positive continuous function of Volterra that can be not self-similar. The main results obtained this paper are generalization due, one-dimensional case, to Cellupica and Pacchiarotti (J. Theor. Probab. 34(2):682–727). state some (pathwise finite-dimensional) large deviation principles for scaled log-price as consequence short-time principles.
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ژورنال
عنوان ژورنال: Stochastic Analysis and Applications
سال: 2022
ISSN: ['1532-9356', '0736-2994']
DOI: https://doi.org/10.1080/07362994.2022.2120012