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@article{Jacquier:2018:10.1017/jpr.2018.72,
author = {Jacquier, A and Pakkanen, MS and Stone, H},
doi = {10.1017/jpr.2018.72},
journal = {Journal of Applied Probability},
pages = {1078--1092},
title = {Pathwise large deviations for the rough Bergomi model},
url = {http://dx.doi.org/10.1017/jpr.2018.72},
volume = {55},
year = {2018}
}

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TY  - JOUR
AB  - 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.
AU  - Jacquier,A
AU  - Pakkanen,MS
AU  - Stone,H
DO  - 10.1017/jpr.2018.72
EP  - 1092
PY  - 2018///
SN  - 0021-9002
SP  - 1078
TI  - Pathwise large deviations for the rough Bergomi model
T2  - Journal of Applied Probability
UR  - http://dx.doi.org/10.1017/jpr.2018.72
UR  - http://arxiv.org/abs/1706.05291v2
UR  - http://hdl.handle.net/10044/1/63331
VL  - 55
ER  -

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