Work

Time-inhomogeneous Gaussian stochastic volatility models: Large deviations and super roughness

Year: 2021

Type: article

Source: Stochastic Processes and their Applications

DOI: 10.1016/j.spa.2021.04.012

Author: Archil Gulisashvili

Institution: Ohio University

Language: English

Topic: Stochastic processes and financial applications

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: bronze

OpenAlex ID: W3005908189

FWCI: 2.586

Cites: 75

Cited by: 15

Related to: 10