Tail asymptotics for diffusion processes, with applications to local volatility and CEV-Heston models
Martin Forde
TL;DR
This paper investigates the tail behavior of diffusion processes and explores applications to local volatility and CEV-Heston models, providing insights into their extreme value characteristics.
Contribution
It introduces new tail asymptotic results for diffusion processes with applications to financial models.
Findings
Derived tail asymptotics for diffusion processes
Applied results to local volatility models
Analyzed CEV-Heston model tail behavior
Abstract
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Taxonomy
TopicsStochastic processes and financial applications · Financial Risk and Volatility Modeling · Stochastic processes and statistical mechanics