Sharp tail estimates for perturbed stochastic volatility models
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چکیده
Sharp tail asymptotics are established for generalized Heston and Stein-Stein stochastic volatility models, with a perturbed drift for the volatility process. This builds on the work of Gulisashvili&Stein[Gul10],[GS10][GS10I] and Friz et al.[FGGS10], [DFJV11].
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