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Original scientific paper

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

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

Fulltext: english, pdf (127 KB) pages 171-184 downloads: 85* cite
APA 6th Edition
Gerhold, S. (2020). Asymptotic analysis of a double integral occurring in the rough Bergomi model. Mathematical Communications, 25 (2), 171-184. Retrieved from 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, no. 2, 2020, pp. 171-184. https://hrcak.srce.hr/244254. Accessed 26 Sep. 2021.
Chicago 17th Edition
Gerhold, Stefan. "Asymptotic analysis of a double integral occurring in the rough Bergomi model." Mathematical Communications 25, no. 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), pp. 171-184. Available at: https://hrcak.srce.hr/244254 (Accessed 26 September 2021)
Vancouver
Gerhold S. Asymptotic analysis of a double integral occurring in the rough Bergomi model. Mathematical Communications [Internet]. 2020 [cited 2021 September 26];25(2):171-184. Available from: https://hrcak.srce.hr/244254
IEEE
S. Gerhold, "Asymptotic analysis of a double integral occurring in the rough Bergomi model", Mathematical Communications, vol.25, no. 2, pp. 171-184, 2020. [Online]. Available: https://hrcak.srce.hr/244254. [Accessed: 26 September 2021]

Abstracts
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

Keywords
Integral, asymptotics, hypergeometric function, incomplete gamma function

Hrčak ID: 244254

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

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