Large-time asymptotics for an uncorrelated stochastic volatility model

Martin Forde

Statistics & Probability Letters, 2011, vol. 81, issue 8, 1230-1232

Abstract: We derive a large-time large deviation principle for the log stock price under an uncorrelated stochastic volatility model. For this we use a Donsker-Varadhan-type large deviation principle for the occupation measure of the Ornstein-Uhlenbeck process, combined with a simple application of the contraction principle and exponential tightness.

Keywords: Stochastic; volatility; Donsker-Varadhan; large; deviations; for; occupation; measures; Large-time; implied; volatility; asymptotics (search for similar items in EconPapers)
Date: 2011
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Citations: View citations in EconPapers (6)

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