Pathwise large deviations for the rough Bergomi model (2019)

First Author: Jacquier A
Attributed to:  Asymptotics and dynamics of forward implied volatility funded by EPSRC

Abstract

No abstract provided

Bibliographic Information

Digital Object Identifier: http://dx.doi.org/10.1017/jpr.2018.72

Publication URI: http://dx.doi.org/10.1017/jpr.2018.72

Type: Journal Article/Review

Parent Publication: Journal of Applied Probability

Issue: 4