Pathwise large deviations for the Rough Bergomi model

Antoine Jacquier (), Mikko S. Pakkanen and Henry Stone

Papers from arXiv.org

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.

Date: 2017-06, Revised 2018-12
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Citations: View citations in EconPapers (18)

Published in J. Appl. Probab. 55 (2018) 1078-1092

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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1706.05291

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