| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 4614828 | Journal of Mathematical Analysis and Applications | 2015 | 12 Pages |
Abstract
In this paper we consider a family of generalized Brownian bridges with a small noise, which was used by Brennan and Schwartz [3] to model the arbitrage profit in stock index futures in the absence of transaction costs. More precisely, we study the large deviation principle of these generalized Brownian bridges as the noise becomes infinitesimal.
Related Topics
Physical Sciences and Engineering
Mathematics
Analysis
Authors
Xiangfeng Yang,