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Small-time moderate deviations for the randomised Heston model

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  • Antoine Jacquier
  • Fangwei Shi

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.

Suggested Citation

  • Antoine Jacquier & Fangwei Shi, 2018. "Small-time moderate deviations for the randomised Heston model," Papers 1808.03548, arXiv.org.
    • Handle: RePEc:arx:papers:1808.03548
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    References listed on IDEAS

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    1. Jim Gatheral & Thibault Jaisson & Mathieu Rosenbaum, 2018. "Volatility is rough," Quantitative Finance, Taylor & Francis Journals, vol. 18(6), pages 933-949, June.
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    6. Antoine Jacquier & Konstantinos Spiliopoulos, 2018. "Pathwise moderate deviations for option pricing," Papers 1803.04483, arXiv.org, revised Dec 2018.
    7. Masaaki Fukasawa, 2017. "Short-time at-the-money skew and rough fractional volatility," Quantitative Finance, Taylor & Francis Journals, vol. 17(2), pages 189-198, February.
    8. Antoine Jacquier & Claude Martini & Aitor Muguruza, 2018. "On VIX futures in the rough Bergomi model," Quantitative Finance, Taylor & Francis Journals, vol. 18(1), pages 45-61, January.
    9. Francesco Caravenna & Jacopo Corbetta, 2014. "General smile asymptotics with bounded maturity," Papers 1411.1624, arXiv.org, revised Jul 2016.
    10. Aleksandar Mijatović & Peter Tankov, 2016. "A New Look At Short-Term Implied Volatility In Asset Price Models With Jumps," Mathematical Finance, Wiley Blackwell, vol. 26(1), pages 149-183, January.
    11. Martin Forde & Antoine Jacquier, 2009. "Small-Time Asymptotics For Implied Volatility Under The Heston Model," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 12(06), pages 861-876.
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