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Pathwise large deviations for the rough Bergomi model: Corrigendum
| File | Description | Size | Format | |
|---|---|---|---|---|
 rbergomi_correction_02.pdf | Accepted version | 195.8 kB | Adobe PDF | View/Open |
| Title: | Pathwise large deviations for the rough Bergomi model: Corrigendum |
| Authors: | Gerhold, S Jacquier, A Pakkanen, M Stone, H Wagenhofer, T |
| Item 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. |
| Issue Date: | 1-Sep-2021 |
| Date of Acceptance: | 1-Sep-2021 |
| URI: | http://hdl.handle.net/10044/1/86091 |
| DOI: | 10.1017/jpr.2020.109 |
| 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/Funder: | Engineering & Physical Science Research Council (EPSRC) |
| Funder's Grant Number: | EP/T032146/1 |
| Keywords: | Science & Technology Physical Sciences Statistics & Probability Mathematics Rough volatility asymptotics reproducing kernel Hilbert space Science & Technology Physical Sciences Statistics & Probability Mathematics Rough volatility asymptotics reproducing kernel Hilbert space Statistics & Probability 0102 Applied Mathematics 0104 Statistics |
| Publication Status: | Published |
| Article Number: | PII S0021900220001096 |
| Online Publication Date: | 2021-09-16 |
| Appears in Collections: | Financial Mathematics Faculty of Natural Sciences Mathematics |