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Pathwise Asymptotics for Volterra Type Stochastic Volatility Models

Author

Listed:
  • Miriana Cellupica

    (Poste Italiane)

  • Barbara Pacchiarotti

    (Università di Roma Tor Vergata)

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.

Suggested Citation

  • Miriana Cellupica & Barbara Pacchiarotti, 2021. "Pathwise Asymptotics for Volterra Type Stochastic Volatility Models," Journal of Theoretical Probability, Springer, vol. 34(2), pages 682-727, June.
    • Handle: RePEc:spr:jotpro:v:34:y:2021:i:2:d:10.1007_s10959-020-00992-4
    DOI: 10.1007/s10959-020-00992-4
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    References listed on IDEAS

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    1. Hult, Henrik, 2003. "Approximating some Volterra type stochastic integrals with applications to parameter estimation," Stochastic Processes and their Applications, Elsevier, vol. 105(1), pages 1-32, May.
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    3. Archil Gulisashvili, 2017. "Large deviation principle for Volterra type fractional stochastic volatility models," Papers 1710.10711, arXiv.org, revised Aug 2018.
    4. Tommi Sottinen & Lauri Viitasaari, 2016. "Stochastic Analysis of Gaussian Processes via Fredholm Representation," International Journal of Stochastic Analysis, Hindawi, vol. 2016, pages 1-15, July.
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    6. Lucia Caramellino & Barbara Pacchiarotti & Simone Salvadei, 2015. "Large Deviation Approaches for the Numerical Computation of the Hitting Probability for Gaussian Processes," Methodology and Computing in Applied Probability, Springer, vol. 17(2), pages 383-401, June.
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