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Pathwise asymptotics for Volterra type stochastic volatility models

Published 15 Feb 2019 in math.PR | (1902.05896v6)

Abstract: We study stochastic volatility models in which the volatility process is a positive continuous function of a continuous Volterra stochastic process. We state some pathwise large deviation principles for the scaled log-price.

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Authors (2)

  1. M. Cellupica 
  2. B. Pacchiarotti 

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