Pathwise moderate deviations for option pricing

DOI10.1111/mafi.12228OpenAlexW2986483135WikidataQ126863344 ScholiaQ126863344MaRDI QIDQ5109973

Antoine Jacquier, Konstantinos V. 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)

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