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Persistent link: https://www.econbiz.de/10009422535
We build on of the work of Henry-Labordµere and Lewis on the small-time behaviour of the return distribution under a general local-stochastic volatility model with zero correlation. We do this using the Freidlin-Wentzell theory of large deviations for stochastic differential equations, and then...
Persistent link: https://www.econbiz.de/10013116586