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Pathwise large deviations for the Rough Bergomi model

Authors :
Jacquier, Antoine
Pakkanen, Mikko S.
Stone, Henry
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