Pathwise large deviations for the rough Bergomi model (Q4611271)
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scientific article; zbMATH DE number 7002995
| Language | Label | Description | Also known as |
|---|---|---|---|
| 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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