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

DOI10.1080/14697688.2023.2178321zbMath1525.91172arXiv2201.10391OpenAlexW4323350178MaRDI QIDQ6158433

Unnamed Author, João M. E. Guerra

Publication date: 20 June 2023

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

Full work available at URL: https://arxiv.org/abs/2201.10391

zbMATH Keywords

fractional Brownian motionstochastic volatilityVIX smile

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Derivative securities (option pricing, hedging, etc.) (91G20)

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