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arXiv · 1706.05291

Pathwise large deviations for the Rough Bergomi model

Antoine Jacquier·Mikko S. Pakkanen·Henry Stone
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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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Antoine Jacquier, Mikko S. Pakkanen, Henry Stone. 2018-12-13. Pathwise large deviations for the Rough Bergomi model. https://doi.org/10.1017/jpr.2018.72

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