Pathwise Moderate Deviations for Option Pricing
Copyright policy )Pathwise Moderate Deviations for Option Pricing
AbstractWe provide a unifying treatment of pathwise moderate deviations for models commonly used in financial applications, and for related integrated functionals. Suitable scaling enables us to transfer these results into small‐time, large‐time, and tail asymptotics for diffusions, as well as for option prices and realized variances. In passing, we highlight some intuitive relationships between moderate deviations rate functions and their large deviations counterparts; these turn out to be useful for numerical purposes, as large deviations rate functions are often difficult to compute.
- University of Massachusetts System United States
- THE TRUSTEES OF BOSTON UNIVERSITY United States
- Imperial College London United Kingdom
- Boston University United States
- Turing Institute United Kingdom
DIFFUSION-APPROXIMATION, FUNCTIONALS, 1502 Banking, 330, Economics, Social Sciences, math.PR, STOCHASTIC VOLATILITY, 510, FOS: Economics and business, Derivative securities (option pricing, hedging, etc.), SYSTEMS, Business & Economics, 0102 Applied Mathematics, q-fin.MF, FOS: Mathematics, Business, Interdisciplinary Applications, Science & Technology, Probability (math.PR), Mathematical Methods, POISSON EQUATION, Mathematical Finance (q-fin.MF), Quantitative Finance - Mathematical Finance, Physical Sciences, Finance and Investment, PRINCIPLE, Pricing of Securities (q-fin.PR), q-fin.PR, Quantitative Finance - Pricing of Securities, Finance, Mathematics, Mathematical Methods In Social Sciences, Mathematics - Probability
DIFFUSION-APPROXIMATION, FUNCTIONALS, 1502 Banking, 330, Economics, Social Sciences, math.PR, STOCHASTIC VOLATILITY, 510, FOS: Economics and business, Derivative securities (option pricing, hedging, etc.), SYSTEMS, Business & Economics, 0102 Applied Mathematics, q-fin.MF, FOS: Mathematics, Business, Interdisciplinary Applications, Science & Technology, Probability (math.PR), Mathematical Methods, POISSON EQUATION, Mathematical Finance (q-fin.MF), Quantitative Finance - Mathematical Finance, Physical Sciences, Finance and Investment, PRINCIPLE, Pricing of Securities (q-fin.PR), q-fin.PR, Quantitative Finance - Pricing of Securities, Finance, Mathematics, Mathematical Methods In Social Sciences, Mathematics - Probability
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