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Pathwise Asymptotics for Volterra Type Stochastic Volatility Models

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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.

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The authors wish to thank the referee for her/his very useful comments which allowed us to improve the paper.

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Correspondence to Barbara Pacchiarotti.

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Cellupica, M., Pacchiarotti, B. Pathwise Asymptotics for Volterra Type Stochastic Volatility Models. J Theor Probab (2020). https://doi.org/10.1007/s10959-020-00992-4

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  • Large deviations
  • Volterra type Gaussian processes
  • Conditional processes

Mathematics Subject Classification (2010)

  • 60F10
  • 60G15
  • 60G22