Results 11 to 20 of about 319,252 (292)
Option pricing in the moderate deviations regime. [PDF]
Math Financ, 2018 AbstractWe consider call option prices close to expiry in diffusion models, in an asymptotic regime (“moderately out of the money”) that interpolates between the well‐studied cases of at‐the‐money and out‐of‐the‐money regimes. First and higher order small‐time moderate deviation estimates of call prices and implied volatilities are obtained.
Friz P, Gerhold S, Pinter A.
europepmc +8 more sources
Noncentral moderate deviations for fractional Skellam processes [PDF]
Modern Stochastics: Theory and Applications, 2023 The term moderate deviations is often used in the literature to mean a class of large deviation principles that, in some sense, fills the gap between a convergence in probability to zero (governed by a large deviation principle) and a weak convergence to
Jeonghwa Lee, Claudio Macci
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Self-Normalized Moderate Deviations for Degenerate U-Statistics [PDF]
EntropyIn this paper, we study self-normalized moderate deviations for degenerate U-statistics of order 2. Let {Xi,i≥1} be i.i.d. random variables and consider symmetric and degenerate kernel functions in the form h(x,y)=∑l=1∞λlgl(x)gl(y), where λl>0, Egl(X1)=0,
Lin Ge, Hailin Sang, Qi-Man Shao
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Moderate Deviations for Student's Statistic [PDF]
Theory of Probability & Its Applications, 2002 Summary: For self-normalized sums, say \(S_{n}/V_{n}\), under symmetry conditions we consider Linnik-type zones, where the ratio \(\mathbf{P}\{S_n/V_n\geq x\}/(1-\Phi(x))\) converges to 1, and establish optimal bounds for remainder terms related to this convergence.
Chistyakov, Gennadiy, Götze, Friedrich
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Moderate deviations of functional of Markov Processes [PDF]
ESAIM: Proceedings, 2014 Summary: This paper presents recent developments on the principle of moderate deviations for some classes of dependent random variables.
Bitseki Penda, Valère +4 more
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Large deviations, moderate deviations, and the KLS conjecture [PDF]
Journal of Functional Analysis, 2021 22 ...
Alonso Gutiérrez, David +2 more
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Moderate deviations for Markov chains with atom [PDF]
Stochastic Processes and their Applications, 2001 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Djellout, H., Guillin, A.
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Pathwise Moderate Deviations for Option Pricing [PDF]
SSRN Electronic Journal, 2018 AbstractWe provide a unifying treatment of pathwise moderate deviations for models commonly used in financial applications, and for related integrated functionals. Suitable scaling enables us to transfer these results into small‐time, large‐time, and tail asymptotics for diffusions, as well as for option prices and realized variances.
Jacquier, A, Spiliopoulos, K
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Moderate deviations for degenerate U-processes [PDF]
Stochastic Processes and their Applications, 2000 \(U\)-processes of order \(m\) defined on a probability space \((S,\mathcal S,\mu )\) and indexed by a collection of measurable functions \(\mathcal H\) are considered in case that each function \(h\in \mathcal H\) is completely degenerate (\(\mu \)-canonical).
Eichelsbacher, Peter
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Effect of Implant Angulation on Digital Impression Accuracy of Three-Unit Implant-Supported Restorations [PDF]
International Dental JournalIntroduction and Aims: This study evaluated the effect of implant angulation on the accuracy of digital impressions for 3-unit implant-supported fixed partial dentures obtained with 2 intraoral scanners.
Narges Ameri +4 more
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