Pathwise Asymptotics for Volterra Type Stochastic Volatility Models

Miriana Cellupica and Barbara Pacchiarotti ()
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Miriana Cellupica: Poste Italiane
Barbara Pacchiarotti: Università di Roma Tor Vergata

Journal of Theoretical Probability, 2021, vol. 34, issue 2, 682-727

Abstract: 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.

Keywords: Large deviations; Volterra type Gaussian processes; Conditional processes; 60F10; 60G15; 60G22 (search for similar items in EconPapers)
Date: 2021
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DOI: 10.1007/s10959-020-00992-4

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