On VIX futures in the rough Bergomi model (Q4554409)
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scientific article; zbMATH DE number 6979446
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | On VIX futures in the rough Bergomi model |
scientific article; zbMATH DE number 6979446 |
Statements
On VIX futures in the rough Bergomi model (English)
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14 November 2018
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implied volatility
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fractional Brownian motion
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rough Bergomi
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VIX futures
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VIX smile
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