Imperial College London
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ProfessorJackJacquier

Faculty of Natural Sciences, Department of Mathematics

Professor of Mathematics
 
 
 
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Contact

 

+44 (0)20 7594 8569a.jacquier Website

 
 
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Location

 

804Weeks BuildingSouth Kensington Campus

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Summary

 

Publications

Citation

BibTex format

@article{Jacquier:2020:10.1111/mafi.12228,
author = {Jacquier, A and Spiliopoulos, K},
doi = {10.1111/mafi.12228},
journal = {Mathematical Finance},
pages = {426--463},
title = {Pathwise moderate deviations for option pricing},
url = {http://dx.doi.org/10.1111/mafi.12228},
volume = {30},
year = {2020}
}
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RIS format (EndNote, RefMan)

TY  - JOUR
AB  - 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.
AU  - Jacquier,A
AU  - Spiliopoulos,K
DO  - 10.1111/mafi.12228
EP  - 463
PY  - 2020///
SN  - 0960-1627
SP  - 426
TI  - Pathwise moderate deviations for option pricing
T2  - Mathematical Finance
UR  - http://dx.doi.org/10.1111/mafi.12228
UR  - http://hdl.handle.net/10044/1/70658
VL  - 30
ER  -
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