hrcak mascot   Srce   HID

Izvorni znanstveni članak

Asymptotic analysis of a double integral occurring in the rough Bergomi model

Stefan Gerhold ; Financial and Actuarial Mathematics, TU Wien, Vienna, Austria

Puni tekst: engleski, pdf (127 KB) str. 171-184 preuzimanja: 59* citiraj
APA 6th Edition
Gerhold, S. (2020). Asymptotic analysis of a double integral occurring in the rough Bergomi model. Mathematical Communications, 25 (2), 171-184. Preuzeto s https://hrcak.srce.hr/244254
MLA 8th Edition
Gerhold, Stefan. "Asymptotic analysis of a double integral occurring in the rough Bergomi model." Mathematical Communications, vol. 25, br. 2, 2020, str. 171-184. https://hrcak.srce.hr/244254. Citirano 14.04.2021.
Chicago 17th Edition
Gerhold, Stefan. "Asymptotic analysis of a double integral occurring in the rough Bergomi model." Mathematical Communications 25, br. 2 (2020): 171-184. https://hrcak.srce.hr/244254
Harvard
Gerhold, S. (2020). 'Asymptotic analysis of a double integral occurring in the rough Bergomi model', Mathematical Communications, 25(2), str. 171-184. Preuzeto s: https://hrcak.srce.hr/244254 (Datum pristupa: 14.04.2021.)
Vancouver
Gerhold S. Asymptotic analysis of a double integral occurring in the rough Bergomi model. Mathematical Communications [Internet]. 2020 [pristupljeno 14.04.2021.];25(2):171-184. Dostupno na: https://hrcak.srce.hr/244254
IEEE
S. Gerhold, "Asymptotic analysis of a double integral occurring in the rough Bergomi model", Mathematical Communications, vol.25, br. 2, str. 171-184, 2020. [Online]. Dostupno na: https://hrcak.srce.hr/244254. [Citirano: 14.04.2021.]

Sažetak
Recently, Forde et al. [The Rough Bergomi model as $H\to0$ -- skew flattening/blow up and non-Gaussian rough volatility; preprint] found an explicit expression for the third moment of the log-price in the rough Bergomi model, in terms of a double integral, whose integrand involves a hypergeometric function. One of the parameters of this financial market model, the Hurst parameter~$H$, is observed to be small in practice. We analyse the third moment asymptotically as $H$ tends to zero, using as our main tools hypergeometric transformation formulas and uniform asymptotic expansions for the incomplete gamma function

Ključne riječi
Integral, asymptotics, hypergeometric function, incomplete gamma function

Hrčak ID: 244254

URI
https://hrcak.srce.hr/244254

Posjeta: 120 *