dc.contributor.author | Feng, Jin | |
dc.contributor.author | Pouque, Jean-Pierre | |
dc.contributor.author | Kuman, Rohini | |
dc.date.accessioned | 2015-02-18T21:18:08Z | |
dc.date.available | 2015-02-18T21:18:08Z | |
dc.date.issued | 2012-01-01 | |
dc.identifier.citation | Feng, Jin., Fouque, Jean-Pierre., Kuman, Rohini. "SMALL-TIME ASYMPTOTICS FOR FAST MEAN-REVERTING
STOCHASTIC VOLATILITY MODELS." Annals of Applied Probability. (2012) 22, 4. 1541-1575. http://dx.doi.org/10.1214/11-AAP801. | en_US |
dc.identifier.uri | http://hdl.handle.net/1808/16711 | |
dc.description | This is the published version, also available here: http://dx.doi.org/10.1214/11-AAP801. | en_US |
dc.description.abstract | In this paper, we study stochastic volatility models in regimes where the maturity is small, but large compared to the mean-reversion time of the stochastic volatility factor. The problem falls in the class of averaging/homogenization problems for nonlinear HJB-type equations where the “fast variable” lives in a noncompact space. We develop a general argument based on viscosity solutions which we apply to the two regimes studied in the paper. We derive a large deviation principle, and we deduce asymptotic prices for out-of-the-money call and put options, and their corresponding implied volatilities. The results of this paper generalize the ones obtained in Feng, Forde and Fouque [SIAM J. Financial Math. 1 (2010) 126–141] by a moment generating function computation in the particular case of the Heston model. | en_US |
dc.publisher | Institute of Mathematical Statistics | en_US |
dc.title | SMALL-TIME ASYMPTOTICS FOR FAST MEAN-REVERTING STOCHASTIC VOLATILITY MODELS | en_US |
dc.type | Article | |
kusw.kuauthor | Feng, Jin | |
kusw.kudepartment | Mathematics | en_US |
dc.identifier.doi | 10.1214/11-AAP801 | |
kusw.oaversion | Scholarly/refereed, publisher version | |
kusw.oapolicy | This item meets KU Open Access policy criteria. | |
dc.rights.accessrights | openAccess | |