Weak approximations and VIX option price expansions in forward variance curve models

DOI10.1080/14697688.2023.2227230zbMath1521.91357arXiv2202.10413MaRDI QIDQ6053109

Emmanuel Gobet, Florian Bourgey, Stefano De Marco

Publication date: 25 September 2023

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2202.10413

zbMATH Keywords

weak approximationVIX optionsforward variance curverough volatility

Mathematics Subject Classification ID

Gaussian processes (60G15) Fractional processes, including fractional Brownian motion (60G22) Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic calculus of variations and the Malliavin calculus (60H07)

Related Items (1)

A partial rough path space for rough volatility

Cites Work

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