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The asymptotic smile of a multiscaling stochastic volatility model

Francesco Caravenna and Jacopo Corbetta

Stochastic Processes and their Applications, 2018, vol. 128, issue 3, 1034-1071

Abstract: We consider a stochastic volatility model which captures relevant stylized facts of financial series, including the multi-scaling of moments. The volatility evolves according to a generalized Ornstein–Uhlenbeck processes with super-linear mean reversion.

Keywords: Implied volatility; Option price; Tail probability; Stochastic volatility model; Large deviations; Multiscaling of moments (search for similar items in EconPapers)
Date: 2018
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