Show simple item record

hal.structure.identifierCEntre de REcherches en MAthématiques de la DEcision [CEREMADE]
dc.contributor.authorGassiat, Paul
dc.date.accessioned2019-12-19T12:48:51Z
dc.date.available2019-12-19T12:48:51Z
dc.date.issued2019
dc.identifier.issn1083-589X
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/20350
dc.language.isoenen
dc.subjectrough volatilityen
dc.subjectmartingale propertyen
dc.subject.ddc519en
dc.titleOn the martingale property in the rough Bergomi modelen
dc.typeArticle accepté pour publication ou publié
dc.description.abstractenWe 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.en
dc.relation.isversionofjnlnameElectronic Communications in Probability
dc.relation.isversionofjnlvol24en
dc.relation.isversionofjnldate2019-06
dc.relation.isversionofjnlpages9en
dc.relation.isversionofdoi10.1214/19-ECP239en
dc.relation.isversionofjnlpublisherInstitute of Mathematical Statisticsen
dc.subject.ddclabelProbabilités et mathématiques appliquéesen
dc.relation.forthcomingnonen
dc.relation.forthcomingprintnonen
dc.description.ssrncandidatenonen
dc.description.halcandidatenonen
dc.description.readershiprechercheen
dc.description.audienceInternationalen
dc.relation.Isversionofjnlpeerreviewedouien
dc.relation.Isversionofjnlpeerreviewedouien
dc.date.updated2019-12-19T12:45:17Z
hal.author.functionaut


Files in this item

Thumbnail

This item appears in the following Collection(s)

Show simple item record