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VIX pricing in the rBergomi model under a regime switching change of measure - MaRDI portal

VIX pricing in the rBergomi model under a regime switching change of measure (Q6158433)

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scientific article; zbMATH DE number 7698406
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VIX pricing in the rBergomi model under a regime switching change of measure
scientific article; zbMATH DE number 7698406

    Statements

    title
    VIX pricing in the rBergomi model under a regime switching change of measure (English)
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    author
    Q6158432
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    João M. E. Guerra
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    publication date
    20 June 2023
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    zbMATH Keywords
    stochastic volatility
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    fractional Brownian motion
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    VIX smile
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    Identifiers

    arXiv ID
    2201.10391
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    zbMATH DE Number
    7698406
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    OpenAlex ID
    W4323350178
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