55 citations · 103 across the 22 of their papers we have counts for
3 papers · 1 filter
Small-time asymptotics for Gaussian self-similar stochastic volatility models
Archil Gulisashvili, Frederi Viens, Xin Zhang
We consider the class of self-similar Gaussian stochastic volatility models, and compute the small-time (near-maturity) asymptotics for the corresponding asset price density, the c…
Extreme-Strike Asymptotics for General Gaussian Stochastic Volatility Models
Archil Gulisashvili, Frederi Viens, Xin Zhang
We consider a stochastic volatility asset price model in which the volatility is the absolute value of a continuous Gaussian process with arbitrary prescribed mean and covariance.…
Mass at zero in the uncorrelated SABR model and implied volatility asymptotics
Archil Gulisashvili, Blanka Horvath, Antoine Jacquier
We study the mass at the origin in the uncorrelated SABR stochastic volatility model, and derive several tractable expressions, in particular when time becomes small or large. As a…