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- W3122128233 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.
- W3122128233 created "2021-02-01" @default.
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- W3122128233 date "2018-03-01" @default.
- W3122128233 modified "2023-09-27" @default.
- W3122128233 title "Pathwise moderate deviations for option pricing" @default.
- W3122128233 hasPublicationYear "2018" @default.
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