Martin Forde

activity

20062025

most citedAsymptotics for rough stochastic volatility models

88 citations · 182 across the 11 of their papers we have counts for

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Showing 2016Show all

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q-fin.PR2016★ 88 cited

Asymptotics for rough stochastic volatility models

Martin Forde, Hongzhong Zhang

Using the large deviation principle (LDP) for a re-scaled fractional Brownian motion $B_{t}^{H}$ where the rate function is defined via the reproducing kernel Hilbert space, we compute…

q-fin.PR2016★ 1 cited

Small-time asymptotics for basket options -- the bi-variate SABR model and the hyperbolic heat kernel on $H^{3}$

Martin Forde, Hongzhong Zhang

We compute a sharp small-time estimate for the price of a basket call under a bi-variate SABR model with both $β$ parameters equal to $1$ and three correlation parameters, which ex…

Asymptotics for rough stochastic volatility models

Small-time asymptotics for basket options -- the bi-variate SABR model and the hyperbolic heat kernel on H3

Small-time asymptotics for basket options -- the bi-variate SABR model and the hyperbolic heat kernel on $H^{3}$