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Pathwise large deviations for the Rough Bergomi model
- Source :
- J. Appl. Probab. 55 (2018) 1078-1092
- Publication Year :
- 2017
-
Abstract
- We study the small-time behaviour of the rough Bergomi model, introduced by Bayer, Friz and Gatheral (2016), and prove a large deviations principle for a rescaled version of the normalised log stock price process, which then allows us to characterise the small-time behaviour of the implied volatility.<br />Comment: 12 Pages
Details
- Database :
- arXiv
- Journal :
- J. Appl. Probab. 55 (2018) 1078-1092
- Publication Type :
- Report
- Accession number :
- edsarx.1706.05291
- Document Type :
- Working Paper
- Full Text :
- https://doi.org/10.1017/jpr.2018.72