Asymptotics for multifactor Volterra type stochastic volatility models

被引：1
|
作者：
Catalini, Giulia [1 ]
Pacchiarotti, Barbara [1 ]
机构：
[1] Univ Roma Tor Vergata, Dept Math, Via Ric Sci, I-00133 Rome, Italy
来源：
STOCHASTIC ANALYSIS AND APPLICATIONS | 2023年 / 41卷 / 06期
关键词：
Large deviations; Volterra type Gaussian processes; multifactor stochastic volatility models; LARGE DEVIATIONS;
D O I：
10.1080/07362994.2022.2120012
中图分类号：
O29 [应用数学];
学科分类号：
070104 ;
摘要：
We study multidimensional stochastic volatility models in which the volatility process is a positive continuous function of a continuous multidimensional Volterra process that can be not self-similar. The main results obtained in this paper are a generalization of the results due, in the one-dimensional case, to Cellupica and Pacchiarotti (J. Theor. Probab. 34(2):682-727). We state some (pathwise and finite-dimensional) large deviation principles for the scaled log-price and as a consequence some (pathwise and finite-dimensional) short-time large deviation principles.
引用
收藏
页码：1025 / 1055
页数：31
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