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Abstract For $$V\sim \alpha \log \log T$$ with $$0<\alpha <2$$, we prove $$\begin{align*} & \frac{1}{T}\textrm{meas}\{t\in [T,2T]: \log|\zeta(1/2+ \textrm{i} t)|>V\}\ll \frac{1}{\sqrt{\log\log T}} e^{-V^{2}/\log\log T}. \end{align*}$$This improves prior results of Soundararajan and of Harper on the large deviations of Selberg’s Central Limit Theorem in that range, without the use of the Riemann hypothesis. The result implies the sharp upper bound for the fractional moments of the Riemann zeta function proved by Heap, Radziwiłł, and Soundararajan. It also shows a new upper bound for the maximum of the zeta function on short intervals of length $$(\log T)^{\theta }$$, $$0<\theta <3$$, that is expected to be sharp for $$\theta> 0$$. Finally, it yields a sharp upper bound (to order one) for the moments on short intervals, below and above the freezing transition. The proof is an adaptation of the recursive scheme introduced by Bourgade, Radziwiłł, and one of the authors to prove fine asymptotics for the maximum on intervals of length $$1$$. 

This paper addresses the problem of approximating the price of options on discrete and continuous arithmetic averages of the underlying, i.e. discretely and continuously monitored Asian options, in local volatility models. A “path-integral”-type expression for option prices is obtained using a Brownian bridge representation for the transition density between consecutive sampling times and a Laplace asymptotic formula. In the limit where the sampling time window approaches zero, the option price is found to be approximated by a constrained variational problem on paths in time-price space. We refer to the optimizing path as the most-likely path (MLP). An approximation for the implied normal volatility follows accordingly. The small-time asymptotics and the existence of the MLP are also rigorously recovered using large deviation theory.