Pathwise large deviations for the rough Bergomi model
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Publication:4611271
DOI10.1017/JPR.2018.72zbMATH Open1405.60037arXiv1706.05291OpenAlexW2625974289WikidataQ128508468 ScholiaQ128508468MaRDI QIDQ4611271FDOQ4611271
Authors: Antoine Jacquier, Mikko S. Pakkanen, Henry Stone 
Publication date: 17 January 2019
Published in: Journal of Applied Probability (Search for Journal in Brave)
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.
Full work available at URL: https://arxiv.org/abs/1706.05291
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- Short-dated smile under rough volatility: asymptotics and numerics
- How Rough Path Lifts Affect Expected Return and Volatility: A Rough Model under Transaction Cost
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- Fractional Brownian motion with zero Hurst parameter: a rough volatility viewpoint
- The multiplicative chaos of \(H=0\) fractional Brownian fields
- Asymptotics for volatility derivatives in multi-factor rough volatility models
- Deep Curve-Dependent PDEs for Affine Rough Volatility
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- Time-inhomogeneous Gaussian stochastic volatility models: large deviations and super roughness
- Asymptotic analysis of a double integral occurring in the rough Bergomi model
- Path developments and tail asymptotics of signature for pure rough paths
- Precise asymptotics: robust stochastic volatility models
- Pathwise moderate deviations for option pricing
- Hierarchical adaptive sparse grids and quasi-Monte Carlo for option pricing under the rough Bergomi model
- Deep learning volatility: a deep neural network perspective on pricing and calibration in (rough) volatility models
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- Large and moderate deviations for stochastic Volterra systems
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