# Pathwise large deviations for the Rough Bergomi model

## TL;DR

This paper establishes a large deviations principle for the rough Bergomi model's normalized log stock price, enabling precise characterization of small-time implied volatility behavior in financial modeling.

## Contribution

It introduces a large deviations framework for the rough Bergomi model, providing new insights into its small-time asymptotics and implied volatility surface.

## Key findings

- Large deviations principle for the rescaled log stock price
- Characterization of small-time implied volatility behavior
- Enhanced understanding of rough volatility models

## Abstract

We study the small-time behaviour of the rough Bergomi model, introduced by Bayer, Friz and Gatheral (2016), and prove a large deviations principle for a rescaled version of the normalised log stock price process, which then allows us to characterise the small-time behaviour of the implied volatility.