Small-time moderate deviations for the randomised Heston model
Pricing of Securities
2020-05-06 v1
Abstract
We extend previous large deviations results for the randomised Heston model to the case of moderate deviations. The proofs involve the G\"artner-Ellis theorem and sharp large deviations tools.
Cite
@article{arxiv.1808.03548,
title = {Small-time moderate deviations for the randomised Heston model},
author = {Antoine Jacquier and Fangwei Shi},
journal= {arXiv preprint arXiv:1808.03548},
year = {2020}
}
Comments
8 pages