Pricing Complex Barrier Options with General Features Using Sharp Large Deviation Estimates

2000 ◽  
pp. 149-162 ◽  
Author(s):  
Paolo Baldi ◽  
Lucia Caramellino ◽  
Maria Gabriella Iovino
Keyword(s):  
Large Deviation ◽  
Barrier Options ◽  
Sharp Large Deviation

scholarly journals Rare Events and Conditional Events on Random Strings

2004 ◽  
Vol Vol. 6 no. 2 ◽  
Author(s):  
Mireille Régnier ◽  
Alain Denise
Keyword(s):  
Large Deviation ◽  
Probability Model ◽  
Rare Event ◽  
Bernoulli Model ◽  
Single Word ◽  
Tail Distribution ◽  
A Genome ◽  
International Audience ◽  
Conditional Events ◽  
Sharp Large Deviation

International audience Some strings -the texts- are assumed to be randomly generated, according to a probability model that is either a Bernoulli model or a Markov model. A rare event is the over or under-representation of a word or a set of words. The aim of this paper is twofold. First, a single word is given. One studies the tail distribution of the number of its occurrences. Sharp large deviation estimates are derived. Second, one assumes that a given word is overrepresented. The distribution of a second word is studied; formulae for the expectation and the variance are derived. In both cases, the formulae are accurate and actually computable. These results have applications in computational biology, where a genome is viewed as a text.

scholarly journals Sharp Large Deviation for the Energy of -Brownian Bridge

2013 ◽  
Vol 2013 ◽  
pp. 1-4
Author(s):  
Shoujiang Zhao ◽  
Qiaojing Liu ◽  
Fuxiang Liu ◽  
Hong Yin
Keyword(s):  
Large Deviation ◽  
Brownian Bridge ◽  
Sharp Large Deviation

scholarly journals Sharp large deviations for some hyperbolic systems

2013 ◽  
Vol 35 (1) ◽  
pp. 249-273 ◽  
Author(s):  
VESSELIN PETKOV ◽  
LUCHEZAR STOYANOV
Keyword(s):  
Large Deviations ◽  
Large Deviation Principle ◽  
Large Deviation ◽  
Hyperbolic Systems ◽  
Axiom A ◽  
Deviation Principle ◽  
Basic Set ◽  
Sharp Large Deviations ◽  
Additional Regularity ◽  
Sharp Large Deviation

AbstractWe prove a sharp large deviation principle concerning intervals shrinking with sub-exponential speed for certain models involving the Poincaré map related to a Markov family for an Axiom A flow restricted to a basic set $\Lambda $ satisfying some additional regularity assumptions.

Discrete Asian barrier options

1999 ◽  
Vol 3 (1) ◽  
pp. 41-67 ◽  
Author(s):  
R Zvan ◽  
P Forsyth ◽  
K Vetzal
Keyword(s):  
Barrier Options
Sign in / Sign up

Export Citation Format

Share Document