insurance contracts a stochastic volatility model for equity prices would be more suitable. In this paper closed form … expressions are derived for prices of guaranteed annuity options assuming stochastic volatility for equity prices and either a 1 …-factor or 2-factor Gaussian interest rate model. The results indicate that the impact of ignoring stochastic volatility can …

This paper studies large and moderate deviation properties of a realized volatility statistic of high frequency … financial data. We establish a large deviation principle for the realized volatility when the number of high frequency … of the realized volatility. We also derive a moderate deviation rate function for a standardized realized volatility …