Pathwise Moderate Deviations for Option Pricing

25 Pages Posted: 21 Jun 2018

See all articles by Antoine (Jack) Jacquier

Antoine (Jack) Jacquier

Imperial College London; The Alan Turing Institute

Konstantinos Spiliopoulos

Boston University

Date Written: March 21, 2018


We provide a unifying treatment of pathwise moderate deviations for models commonly used in financial applications, and for related integrated functionals. Suitable scaling allows us to transfer these results into small-time, large-time and tail asymptotics for diffusions, as well as for option prices and realised variances. In passing, we highlight some intuitive relationships between moderate deviations rate functions and their large deviations counterparts; these turn out to be useful for numerical purposes, as large deviations rate functions are often difficult to compute.

Keywords: moderate deviations, weak convergence, multiscale diffusions, option pricing

JEL Classification: 60F10, 91G99, 91B25

Suggested Citation

Jacquier, Antoine and Spiliopoulos, Konstantinos, Pathwise Moderate Deviations for Option Pricing (March 21, 2018). Available at SSRN: or

Antoine Jacquier (Contact Author)

Imperial College London ( email )

South Kensington Campus
London SW7 2AZ, SW7 2AZ
United Kingdom


The Alan Turing Institute ( email )

British Library, 96 Euston Road
London, NW12DB
United Kingdom

Konstantinos Spiliopoulos

Boston University ( email )

111 Cumminton Mall
Boston, MA 02215
United States

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