On VIX futures in the rough Bergomi model (Q4554409)
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scientific article; zbMATH DE number 6979446
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| 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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0.9999997615814208
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0.8576349020004272
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0.856383740901947
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0.8562328219413757
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0.8442056775093079
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