Pathwise large deviations for the rough Bergomi model
File(s)
Accepted version
Author(s)
Jacquier, Antoine
Pakkanen, Mikko S
Stone, Henry
Type
Journal Article
Abstract
Introduced recently in mathematical finance by Bayer et al. (2016), the rough Bergomi model has proved particularly efficient to calibrate option markets. We investigate some of its probabilistic properties, in particular proving a pathwise large deviations principle for a small-noise version of the model. The exponential function (continuous but superlinear) as well as the drift appearing in the volatility process fall beyond the scope of existing results, and a dedicated analysis is needed.
Date Issued
2018-12
Date Acceptance
2018-08-08
Citation
Journal of Applied Probability, 2018, 55 (4), pp.1078-1092
ISSN
0021-9002
Publisher
Applied Probability Trust
Start Page
1078
End Page
1092
Journal / Book Title
Journal of Applied Probability
Volume
55
Issue
4
Copyright Statement
© 2018 Applied Probability Trust. First published in Jacquier, A., Pakkanen, M., & Stone, H. (2018). Pathwise large deviations for the rough Bergomi model. Journal of Applied Probability, 55(4), 1078-1092. doi:10.1017/jpr.2018.72 .
Identifier
http://arxiv.org/abs/1706.05291v2
Subjects
math.PR
math.PR
q-fin.PR
60F10, 60G22
Publication Status
Published
Date Publish Online
2019-01-16