Pathwise large deviations for the rough Bergomi model: Corrigendum
File(s)rbergomi_correction_02.pdf (195.8 KB)
Accepted version
Author(s)
Gerhold, Stefan
Jacquier, Antoine
Pakkanen, Mikko
Stone, Henry
Wagenhofer, Thomas
Type
Journal Article
Abstract
This note corrects an error in the definition of the rate function in Jacquier, Pakkanen, and Stone (2018) and slightly simplifies some proofs.
Date Issued
2021-09-01
Date Acceptance
2021-09-01
Citation
Journal of Applied Probability, 2021, 58 (3), pp.849-850
ISSN
0021-9002
Publisher
Applied Probability Trust
Start Page
849
End Page
850
Journal / Book Title
Journal of Applied Probability
Volume
58
Issue
3
Copyright Statement
© The Author(s), 2021. Published by Cambridge University Press on behalf of Applied Probability Trust. This article has been published in a revised form in Journal of Applied Probability [https://doi.org/10.1017/jpr.2020.109]. This version is free to view and download for private research and study only. Not for re-distribution, re-sale or use in derivative works.
Sponsor
Engineering & Physical Science Research Council (EPSRC)
Identifier
http://gateway.webofknowledge.com/gateway/Gateway.cgi?GWVersion=2&SrcApp=PARTNER_APP&SrcAuth=LinksAMR&KeyUT=WOS:000696308000017&DestLinkType=FullRecord&DestApp=ALL_WOS&UsrCustomerID=1ba7043ffcc86c417c072aa74d649202
Grant Number
EP/T032146/1
Subjects
Science & Technology
Physical Sciences
Statistics & Probability
Mathematics
Rough volatility
asymptotics
reproducing kernel Hilbert space
Publication Status
Published
Article Number
PII S0021900220001096
Date Publish Online
2021-09-16