The VIX Future in Bergomi Models: Fast Approximation Formulas and Joint Calibration with S&P 500 Skew
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Publication:5872885
DOI10.1137/21M1437408zbMath1503.91120MaRDI QIDQ5872885
Publication date: 4 January 2023
Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)
Hermite polynomialsVIX futurespath-dependent volatilityVIXat-the-money skewBergomi modelsimplied \(\mathrm{VIX}^2\) volatilityS\&P 500/VIX joint calibrationVIX power payoffsvolatility-of-volatility expansion
Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20)
Related Items
Empirical analysis of rough and classical stochastic volatility models to the SPX and VIX markets, Volatility is (mostly) path-dependent, Weak approximations and VIX option price expansions in forward variance curve models, Deep Curve-Dependent PDEs for Affine Rough Volatility, Dispersion-constrained martingale Schrödinger problems and the exact joint S\&P 500/VIX smile calibration puzzle
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