Gerhold, Stefan Asymptotic analysis of a double integral occurring in the rough Bergomi model. (English) Zbl 1454.41012 Math. Commun. 25, No. 2, 171-184 (2020). The author provides an asymptotic formula for the third moment of the log-price in the rough Bergomi model when the Hurst parameter approaches zero. The main tools are hypergeometric identities and uniform asymptotic formulas of incomplete gamma functions. Reviewer: Xiang-Sheng Wang (Lafayette) Cited in 1 Document MSC: 41A60 Asymptotic approximations, asymptotic expansions (steepest descent, etc.) 33B20 Incomplete beta and gamma functions (error functions, probability integral, Fresnel integrals) 33C05 Classical hypergeometric functions, \({}_2F_1\) Keywords:integral; asymptotics; hypergeometric function; incomplete gamma function PDFBibTeX XMLCite \textit{S. Gerhold}, Math. Commun. 25, No. 2, 171--184 (2020; Zbl 1454.41012) Full Text: Link