On the martingale property in the rough Bergomi model
Gassiat, Paul (2019), On the martingale property in the rough Bergomi model, Electronic Communications in Probability, 24, p. 9. 10.1214/19-ECP239
TypeArticle accepté pour publication ou publié
Journal nameElectronic Communications in Probability
Institute of Mathematical Statistics
MetadataShow full item record
CEntre de REcherches en MAthématiques de la DEcision [CEREMADE]
Abstract (EN)We consider a class of fractional stochastic volatility models (including the so-called rough Bergomi model), where the volatility is a superlinear function of a fractional Gaussian process. We show that the stock price is a true martingale if and only if the correlation ρ between the driving Brownian motions of the stock and the volatility is nonpositive. We also show that for each ρ<0 and m>11−ρ2, the m-th moment of the stock price is infinite at each positive time.
Subjects / Keywordsrough volatility; martingale property
Showing items related by title and author.
Speed of propagation for Hamilton-Jacobi equations with multiplicative rough time dependence and convex Hamiltonians Gassiat, Paul; Gess, Benjamin; Lions, Pierre-Louis; Souganidis, Panagiotis E. (2018) Document de travail / Working paper