英文标题：
《The asymptotic smile of a multiscaling stochastic volatility model》
---
作者：
Francesco Caravenna and Jacopo Corbetta
---
最新提交年份：
2017
---
英文摘要：
  We consider a stochastic volatility model which captures relevant stylized facts of financial series, including the multi-scaling of moments. The volatility evolves according to a generalized Ornstein-Uhlenbeck processes with super-linear mean reversion.   Using large deviations techniques, we determine the asymptotic shape of the implied volatility surface in any regime of small maturity $t \\to 0$ or extreme log-strike $|\\kappa| \\to \\infty$ (with bounded maturity). Even if the price has continuous paths, out-of-the-money implied volatility diverges for small maturity, producing a very pronounced smile.
---
中文摘要：
我们考虑了一个随机波动率模型，该模型捕获了金融序列的相关类型化事实，包括矩的多尺度。波动率按照超线性均值回复的广义Ornstein-Uhlenbeck过程演化。使用大偏差技术，我们确定了在任何小到期日$t\\至0$或极端对数走向$|\\kappa | \\to\\infty$（有界到期日）的情况下隐含波动率曲面的渐近形状。即使价格有连续的路径，货币外隐含波动率也会因小到期日而发散，产生非常明显的微笑。
---
分类信息：

一级分类：Mathematics        数学
二级分类：Probability        概率
分类描述：Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory
概率论与随机过程的理论与应用：例如中心极限定理，大偏差，随机微分方程，统计力学模型，排队论
--
一级分类：Quantitative Finance        数量金融学
二级分类：Mathematical Finance        数学金融学
分类描述：Mathematical and analytical methods of finance, including stochastic, probabilistic and functional analysis, algebraic, geometric and other methods
金融的数学和分析方法，包括随机、概率和泛函分析、代数、几何和其他方法
--

---
PDF下载：
-->