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- W2789343218 abstract "We provide a unifying treatment of pathwise moderate deviations for models commonly used in financial applications, and for related integrated functionals. Suitable scaling allows us to transfer these results into small-time, large-time and tail asymptotics for diffusions, as well as for option prices and realised 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." @default.
- W2789343218 created "2018-03-29" @default.
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- W2789343218 date "2018-03-12" @default.
- W2789343218 modified "2023-09-27" @default.
- W2789343218 title "Pathwise moderate deviations for option pricing" @default.
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