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

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

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

Datum izdavanja:

29.9.2020.

Posjeta: 932 *