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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.
| Original language | English |
|---|---|
| Journal | Journal of Applied Probability |
| Volume | 55 |
| Issue | 4 |
| Pages (from-to) | 1078-1092 |
| Number of pages | 15 |
| ISSN | 0021-9002 |
| DOIs | |
| Publication status | Published - 2018 |
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ID: 153128579