On VIX futures in the rough Bergomi model
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Publication:4957230
DOI10.1080/14697688.2017.1353127zbMath1469.91055OpenAlexW2576267689MaRDI QIDQ4957230
Aitor Muguruza, Antoine Jacquier, Claude Martini
Publication date: 3 September 2021
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/10044/1/50070
Numerical methods (including Monte Carlo methods) (91G60) Fractional processes, including fractional Brownian motion (60G22) Derivative securities (option pricing, hedging, etc.) (91G20)
Related Items (8)
Empirical analysis of rough and classical stochastic volatility models to the SPX and VIX markets ⋮ Weak approximations and VIX option price expansions in forward variance curve models ⋮ Consistent time‐homogeneous modeling of SPX and VIX derivatives ⋮ Deep Curve-Dependent PDEs for Affine Rough Volatility ⋮ Dispersion-constrained martingale Schrödinger problems and the exact joint S\&P 500/VIX smile calibration puzzle ⋮ Joint Modeling and Calibration of SPX and VIX by Optimal Transport ⋮ The VIX Future in Bergomi Models: Fast Approximation Formulas and Joint Calibration with S&P 500 Skew ⋮ On Smile Properties of Volatility Derivatives: Understanding the VIX Skew
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