On the martingale property in the rough Bergomi model

DOI10.1214/19-ECP239zbMath1488.60109arXiv1811.10935OpenAlexW2902318560MaRDI QIDQ2422728

Paul Gassiat

Publication date: 20 June 2019

Published in: Electronic Communications in Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1811.10935

zbMATH Keywords

martingale propertyrough volatility

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Martingales with continuous parameter (60G44) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items

Large and moderate deviations for stochastic Volterra systems, Pricing Options under Rough Volatility with Backward SPDEs, Deep Curve-Dependent PDEs for Affine Rough Volatility, Local volatility under rough volatility, Precise asymptotics: robust stochastic volatility models, Log-Modulated Rough Stochastic Volatility Models, Strong convergence rates for Markovian representations of fractional processes, Asymptotics for volatility derivatives in multi-factor rough volatility models, Volatility has to be rough, Rough volatility and CGMY jumps with a finite history and the Rough Heston model – small-time asymptotics in the regime

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Asymptotic analysis for stochastic volatility: martingale expansion
• On exponential local martingales associated with strong Markov continuous local martingales
• Correlations and bounds for stochastic volatility models
• Brownian moving averages have conditional full support
• A variational representation for certain functionals of Brownian motion
• Blow-up behavior of Hammerstein-type Volterra integral equations
• Gaussian stochastic volatility models: scaling regimes, large deviations, and moment explosions
• Precise asymptotics: robust stochastic volatility models
• Moment explosions in the rough Heston model
• On the short-time behavior of the implied volatility for jump-diffusion models with stochastic volatility
• The martingale property in the context of stochastic differential equations
• A Mathematical Theory of Financial Bubbles
• Complications with stochastic volatility models
• Volatility is rough
• Pricing under rough volatility