Publications

BibTex format

@article{Gerhold:2021:10.1017/jpr.2020.109,
author = {Gerhold, S and Jacquier, A and Pakkanen, M and Stone, H and Wagenhofer, T},
doi = {10.1017/jpr.2020.109},
journal = {Journal of Applied Probability},
pages = {849--850},
title = {Pathwise large deviations for the rough Bergomi model: Corrigendum},
url = {http://dx.doi.org/10.1017/jpr.2020.109},
volume = {58},
year = {2021}
}

Download

RIS format (EndNote, RefMan)

TY  - JOUR
AB  - This note corrects an error in the definition of the rate function in Jacquier, Pakkanen, and Stone (2018) and slightly simplifies some proofs.
AU  - Gerhold,S
AU  - Jacquier,A
AU  - Pakkanen,M
AU  - Stone,H
AU  - Wagenhofer,T
DO  - 10.1017/jpr.2020.109
EP  - 850
PY  - 2021///
SN  - 0021-9002
SP  - 849
TI  - Pathwise large deviations for the rough Bergomi model: Corrigendum
T2  - Journal of Applied Probability
UR  - http://dx.doi.org/10.1017/jpr.2020.109
UR  - http://gateway.webofknowledge.com/gateway/Gateway.cgi?GWVersion=2&SrcApp=PARTNER_APP&SrcAuth=LinksAMR&KeyUT=WOS:000696308000017&DestLinkType=FullRecord&DestApp=ALL_WOS&UsrCustomerID=1ba7043ffcc86c417c072aa74d649202
UR  - https://www.cambridge.org/core/journals/journal-of-applied-probability/article/pathwise-large-deviations-for-the-rough-bergomi-model-corrigendum/E852AD3A74D46F2D94BEE077E8A60183
UR  - http://hdl.handle.net/10044/1/86091
VL  - 58
ER  -

Download

ProfessorJackJacquier

Contact

Location

Summary

Citation

BibTex format

RIS format (EndNote, RefMan)