# Mathematical Communications,Vol. 25 No. 2, 2020.

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 EditionGerhold, 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 EditionGerhold, 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 EditionGerhold, 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 HarvardGerhold, 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.) VancouverGerhold 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 IEEES. 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

Hrčak ID: 244254

Posjeta: 120 *