Short-Time Asymptotics for Non-Self-Similar Stochastic Volatility Models

Article Properties
  • Language
    English
  • DOI (url)
    10.1080/1350486x.2023.2299467
  • Publication Date
    2023/05/04
  • Journal
    Applied Mathematical Finance
  • Indian UGC (journal)
  • Refrences
    57
  • Giacomo Giorgio Department of Mathematics, University of Rome Tor Vergata, Roma, Italy
  • Barbara Pacchiarotti Department of Mathematics, University of Rome Tor Vergata, Roma, Italy
  • Paolo Pigato Department of Economics and Finance, University of Rome Tor Vergata, Roma, Italy
Cite
Giorgio, Giacomo, et al. “Short-Time Asymptotics for Non-Self-Similar Stochastic Volatility Models”. Applied Mathematical Finance, vol. 30, no. 3, 2023, pp. 123-52, https://doi.org/10.1080/1350486x.2023.2299467.
Giorgio, G., Pacchiarotti, B., & Pigato, P. (2023). Short-Time Asymptotics for Non-Self-Similar Stochastic Volatility Models. Applied Mathematical Finance, 30(3), 123-152. https://doi.org/10.1080/1350486x.2023.2299467
Giorgio G, Pacchiarotti B, Pigato P. Short-Time Asymptotics for Non-Self-Similar Stochastic Volatility Models. Applied Mathematical Finance. 2023;30(3):123-52.
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Refrences
Title Journal Journal Categories Citations Publication Date
The Multiplicative Chaos of H = 0 Fractional Brownian Fields 2021
Fractional Brownian Motion with Zero Hurst Parameter: A Rough Volatility Viewpoint 2018
Loss of Martingality in Asset Price Models with Lognormal Stochastic Volatility 2004
Small-Time Asymptotics for Gaussian Self-Similar Stochastic Volatility Models 2018
An Introduction to Numerical Analysis 2008