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The problem of filtering of finite–alphabet stationary ergodic time series is considered. A method for constructing a confidence set for the (unknown) signal is proposed.
Small-time asymptotics for fast mean-reverting stochastic volatility models
Stochastic volatility multi-scale asymptotic large deviation principle implied volatility smile/skew
2010/12/15
In this paper, we study stochastic volatility models in regimes where the maturity is small but large compared to the mean-reversion time of the stochastic volatility factor.