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Small-time moderate deviations for the randomised Heston model

Published online by Cambridge University Press:  04 May 2020

Antoine Jacquier*
Affiliation:
Imperial College London and Alan Turing Institute
Fangwei Shi*
Affiliation:
Imperial College London
*
*Postal address: Department of Mathematics and Alan Turing Institute, Imperial College London, London SW7 2AZ, UK.
*Postal address: Department of Mathematics and Alan Turing Institute, Imperial College London, London SW7 2AZ, UK.

Abstract

We extend previous large deviations results for the randomised Heston model to the case of moderate deviations. The proofs involve the Gärtner–Ellis theorem and sharp large deviations tools.

Type
Research Papers
Copyright
© Applied Probability Trust 2020

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