Small-time moderate deviations for the randomised Heston model

Antoine Jacquier and Fangwei Shi

Papers from arXiv.org

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.

Date: 2018-08
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Published in J. Appl. Probab. 57 (2020) 19-28

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