Pathwise large deviations for the rough Bergomi model: Corrigendum

DOI10.1017/jpr.2020.109zbMath1470.60087OpenAlexW3200508368MaRDI QIDQ5152528

Thomas Wagenhofer, Mikko S. Pakkanen, Stefan Gerhold, Antoine Jacquier, Henry Stone

Publication date: 24 September 2021

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/jpr.2020.109

zbMATH Keywords

asymptoticsreproducing kernel Hilbert spacerough volatility

Mathematics Subject Classification ID

Gaussian processes (60G15) Fractional processes, including fractional Brownian motion (60G22) Large deviations (60F10) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (1)

A partial rough path space for rough volatility

Cites Work

• Lectures on Gaussian Processes
• Pathwise large deviations for the rough Bergomi model

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