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In this note, we investigate the conditions under which Borel-Cantelli Lemma holds of Choquet capacity, which is a reasonable generalization of traditional Borel-Cantelli Lemma of probability measure
A note on essential smoothness in the Heston model
Essential smoothness large deviation principle Heston model
2011/10/9
Abstract: This note studies an issue relating to essential smoothness that can arise when the theory of large deviations is applied to a certain option pricing formula in the Heston model. The note id...
Let K be a convex body in Rn with Santal´o point at 0. We show that if K has a point on the boundary with positive generalized Gauß curvature, then the volume product |K||K◦| is not ...