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Pathwise moderate deviations for option pricing

  • Published:2019-11-07 Issue:2 Volume:30 Page:426-463
  • ISSN:0960-1627
  • Container-title:Mathematical Finance
  • language:en
  • Short-container-title:Mathematical Finance

Author:

Jacquier Antoine1,Spiliopoulos Konstantinos2

Affiliation:

1. Department of Mathematics, Imperial College London and Baruch College CUNY New York

2. Department of Mathematics and Statistics Boston University Boston Massachusetts

Funder

National Science Foundation

Division of Mathematical Sciences

Publisher

Wiley

Subject

Applied Mathematics,Economics and Econometrics,Social Sciences (miscellaneous),Finance,Accounting

Reference33 articles.

1. Theorems on large deviations and stability for random perturbations;Baier D.;Doklady Akademii nauk SSSR,1977

2. A variational representation for certain functionals of Brownian motion

3. On Large Deviations for Small Noise Itô Processes

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