Pathwise moderate deviations for option pricing

DOI10.1111/MAFI.12228MaRDI QIDQ5109973zbMATH OpenOpenAlexWikidataFDO

Authors Antoine Jacquier, Konstantinos Spiliopoulos

Publication date 14 May 2020

Published in Mathematical Finance (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1803.04483

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Recommendations

• Option pricing in the moderate deviations regime
• Large deviations of realized volatility
• Large and moderate deviations for stochastic Volterra systems
• Pathwise asymptotics for Volterra type stochastic volatility models
• Pathwise large deviations for the rough Bergomi model

Cited in

(9)

• Large and moderate deviations for stochastic Volterra systems
• Option pricing in the moderate deviations regime
• Moderate deviations for fully coupled multiscale weakly interacting particle systems
• Moderate deviations for systems of slow-fast stochastic reaction-diffusion equations
• Moderate deviations for rough differential equations
• Path averaged option value criteria for selecting better options
• Importance sampling for stochastic reaction-diffusion equations in the moderate deviation regime
• Small-time moderate deviations for the randomised Heston model
• Large deviations of realized volatility

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