32 citations · 46 across the 17 of their papers we have counts for
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q-fin.MF2022★ 1 cited
Short-time asymptotics for non self-similar stochastic volatility models
Giacomo Giorgio, Barbara Pacchiarotti, Paolo Pigato
We provide a short-time large deviation principle (LDP) for stochastic volatility models, where the volatility is expressed as a function of a Volterra process. This LDP does not r…
q-fin.MF2022★ 1 cited
Local volatility under rough volatility
Florian Bourgey, Stefano De Marco, Peter K. Friz +1
Several asymptotic results for the implied volatility generated by a rough volatility model have been obtained in recent years (notably in the small-maturity regime), providing a b…