- Working Paper
We obtain a first order extension of the large deviation estimates in the Gärtner-Ellis theorem. In addition, for a given family of measures, we find a special family of functions having a similar Laplace principle expansion up to order one to that of the original family of measures. The construction of the special family of functions mentioned above is based on heat kernel expansions. Some of the ideas employed in the paper come from the theory of affine stochastic processes. For instance, we provide an explicit expansion with respect to the homogenization parameter of the rescaled cumulant generating function in the case of a generic continuous affine process. We also compute the coefficients in the homogenization expansion for the Heston model that is one of the most popular stock price models with stochastic volatility Show more
Journal / seriesarXiv
Pages / Article No.
Organisational unit03845 - Teichmann, Josef / Teichmann, Josef
NotesSubmitted on 14 June 2014. See also http://e-citations.ethbib.ethz.ch/view/pub:171055.
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