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Showing 1 to 1 of 1 for “"Large strike asymptotics"”.
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Extreme-Strike and Small-time Asymptotics for Gaussian Stochastic Volatility Models
… our interest in this dissertation. For extreme strike, 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. By exhibiting a Karhunen-Loève expansion for the integrated …