Pathwise large deviations for the rough Bergomi model
From MaRDI portal
Publication:4611271
DOI10.1017/jpr.2018.72zbMath1405.60037arXiv1706.05291OpenAlexW2625974289WikidataQ128508468 ScholiaQ128508468MaRDI QIDQ4611271
Henry Stone, Mikko S. Pakkanen, Antoine Jacquier
Publication date: 17 January 2019
Published in: Journal of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1706.05291
small-time asymptoticslarge deviationsreproducing kernel Hilbert spaceGaussian measurerough volatility
Gaussian processes (60G15) Fractional processes, including fractional Brownian motion (60G22) Large deviations (60F10) Derivative securities (option pricing, hedging, etc.) (91G20)
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