General Freidlin-Wentzell Large Deviations and positive diffusions
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References listed on IDEAS
- Robertson, Scott, 2010. "Sample path Large Deviations and optimal importance sampling for stochastic volatility models," Stochastic Processes and their Applications, Elsevier, vol. 120(1), pages 66-83, January.
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- Dan Pirjol & Jing Wang & Lingjiong Zhu, 2017. "Short Maturity Forward Start Asian Options in Local Volatility Models," Papers 1710.03160, arXiv.org.
- Cai, Yujie & Wang, Shaochen, 2015. "Central limit theorem and moderate deviation principle for CKLS model with small random perturbation," Statistics & Probability Letters, Elsevier, vol. 98(C), pages 6-11.
- Louis-Pierre Arguin & Nien-Lin Liu & Tai-Ho Wang, 2017. "Most-likely-path in Asian option pricing under local volatility models," Papers 1706.02408, arXiv.org.
- Dan Pirjol & Lingjiong Zhu, 2017. "Short Maturity Asian Options for the CEV Model," Papers 1702.03382, arXiv.org.
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KeywordsLarge Deviations Diffusion processes CIR and CEV models;
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