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Pathwise large deviations for the Rough Bergomi model (2017)

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/10.48550/arxiv.1706.05291

Publication URI: https://arxiv.org/abs/1706.05291

Type: Other