Time-inhomogeneous Gaussian stochastic volatility models: Large deviations and super roughness (Archil Gulisashvili -- Ohio University)

  • Starts: 4:00 pm on Thursday, October 21, 2021
We study 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. Our main results are small-noise large deviation principles for the log-price process in a time-inhomogeneous super rough Gaussian model under very mild restrictions. These results are used to find leading terms in small-noise asymptotic expansions of binary barrier options and call options.
Zoom; Refreshments will be served in MCS B24, 111 Cummington Mall

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