Pathwise large deviations for the Rough Bergomi model
Probability
2019-07-10 v3 Pricing of Securities
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.
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Cite
@article{arxiv.1706.05291,
title = {Pathwise large deviations for the Rough Bergomi model},
author = {Antoine Jacquier and Mikko S. Pakkanen and Henry Stone},
journal= {arXiv preprint arXiv:1706.05291},
year = {2019}
}
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12 Pages