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The asymptotic smile of a multiscaling stochastic volatility model

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  • Caravenna, Francesco
  • Corbetta, Jacopo

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.

Suggested Citation

  • Caravenna, Francesco & Corbetta, Jacopo, 2018. "The asymptotic smile of a multiscaling stochastic volatility model," Stochastic Processes and their Applications, Elsevier, vol. 128(3), pages 1034-1071.
    • Handle: RePEc:eee:spapps:v:128:y:2018:i:3:p:1034-1071
    DOI: 10.1016/j.spa.2017.06.014
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    References listed on IDEAS

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    Cited by:

    1. Paolo Pigato, 2019. "Extreme at-the-money skew in a local volatility model," Finance and Stochastics, Springer, vol. 23(4), pages 827-859, October.

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