Stefano De Marco

most citedBounds on Stock Price probability distributions in Local-Stochastic Volatility models

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math.PR2014

On small-noise equations with degenerate limiting system arising from volatility models

Giovanni Conforti, Stefano De Marco, Jean-Dominique Deuschel

The one-dimensional SDE with non Lipschitz diffusion coefficient $d X_{t} = b (X_{t}) d t + σ X_{t}^{γ} d B_{t}, X_{0} = x, γ < 1$ is widely studied in mathematical finance. Several works…