Asymptotic behaviour of randomised fractional volatility models
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DOI: 10.1017/jpr.2019.27
Abstract: Abstract 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 (small-time and tail behaviours… read more here.
Keywords: randomised fractional; asymptotic behaviour; behaviour randomised; volatility ... See more keywords