"Pathwise large deviations for the rough Bergomi model."

Antoine Jacquier, Mikko S. Pakkanen, Henry Stone (2018)

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DOI: 10.1017/JPR.2018.72

access: closed

type: Journal Article

metadata version: 2020-04-16

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Antoine Jacquier, Mikko S. Pakkanen, Henry Stone:
Pathwise large deviations for the rough Bergomi model. J. Appl. Probab. 55(4): 1078-1092 (2018)

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