Asymptotic behaviour of randomised fractional volatility models


We study the asymptotic behaviour of a class of small-noise diffusions driven by fractional Brownian motion, with random starting points. Different scalings allow for different asymptotic properties of the process. In order to... [ view full abstract ]


  1. Chloe Lacombe (Imperial College)
  2. Antoine Jacquier (Imperial College)
  3. Blanka Horvath (Imperial College)

Topic Area

Stochastic Volatility


MO-A-B2 » Stochastic Volatility 1 (11:30 - Monday, 16th July, Beckett 2)

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