학술논문
Pathwise large deviations for the Rough Bergomi model
Document Type
Working Paper
Source
J. Appl. Probab. 55 (2018) 1078-1092
Subject
Language
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.
Comment: 12 Pages
Comment: 12 Pages