Pathwise large deviations for the rough Bergomi model (Q4611271)
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scientific article; zbMATH DE number 7002995
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| English | Pathwise large deviations for the rough Bergomi model |
scientific article; zbMATH DE number 7002995 |
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Pathwise large deviations for the rough Bergomi model (English)
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17 January 2019
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rough volatility
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large deviations
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small-time asymptotics
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Gaussian measure
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reproducing kernel Hilbert space
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0.9077773
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0.9076042
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0.9074478
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0.8990299
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0.8977903
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0.89613503
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0.89192957
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