BibTex format
@article{Deuschel:2013:10.1002/cpa.21483,
author = {Deuschel, JD and Friz, PK and Jaquier, A and Violante, S},
doi = {10.1002/cpa.21483},
journal = {Communications on Pure and Applied Mathematics},
title = {Marginal density expansions for diffusions and stochastic volatility, Part II: Applications},
url = {http://dx.doi.org/10.1002/cpa.21483},
volume = {n/a},
year = {2013}
}
RIS format (EndNote, RefMan)
TY - JOUR
AB - Density expansions for hypoelliptic diffusions $(X^1,...,X^d)$ are revisited. In particular, we are interested in density expansions of the projection $(X_T^1,...,X_T^l)$, at time $T>0$, with $l \leq d$. Global conditions are found which replace the well-known "not-in-cutlocus" condition known from heat-kernel asymptotics; cf. G. Ben Arous (1988). Our small noise expansion allows for a "second order" exponential factor. Applications include tail and implied volatility asymptotics in some correlated stochastic volatility models; in particular, we solve a problem left open by A. Gulisashvili and E.M. Stein (2009).
AU - Deuschel,JD
AU - Friz,PK
AU - Jaquier,A
AU - Violante,S
DO - 10.1002/cpa.21483
PY - 2013///
SN - 0010-3640
TI - Marginal density expansions for diffusions and stochastic volatility, Part II: Applications
T2 - Communications on Pure and Applied Mathematics
UR - http://dx.doi.org/10.1002/cpa.21483
VL - n/a
ER -