Large deviations for fractional volatility models with non-Gaussian volatility driver

We study non-Gaussian fractional stochastic volatility models. The in such a model is described by positive function of process that transform the solution to an SDE satisfying Yamada–Watanabe condition. Such models are generalizations version Heston considered Bäuerle and Desmettre (2020). establish sample path small-noise large deviation principles for log-price model. also illustrate how compute second order Taylor expansion rate function, simplified example.