Pathwise large deviations for the rough Bergomi model
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Publication:4611271
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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Cited in
(26)- Path developments and tail asymptotics of signature for pure rough paths
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