Pathwise large deviations for the Rough Bergomi model
classification
🧮 math.PR
q-fin.PR
keywords
behaviourbergomideviationslargemodelroughsmall-timeallows
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We study the small-time behaviour of the rough Bergomi model, introduced by Bayer, Friz and Gatheral (2016), and prove a large deviations principle for a rescaled version of the normalised log stock price process, which then allows us to characterise the small-time behaviour of the implied volatility.
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