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Showing 1 to 2 of 2 for “"Small time asymptotics"”.
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Extreme-Strike and Small-time Asymptotics for Gaussian Stochastic Volatility Models
… of a general second-chaos variable, we derive asymptotics for the asset price density for large or small values of the variable, and study the wing behavior of the implied volatility in these models. Our main result provides explicit expressions for the first five terms in the expansion of the …
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Geometry of sub-Riemannian diffusion processes
… on manifolds. We first focus on studying the small-time asymptotics of sub-Riemannian diffusion bridges. After giving an overview of recent work by Bailleul, Mesnager and Norris on small-time fluctuations for the bridge of a sub-Riemannian diffusion, we show, by providing a specific example, …