On VIX futures in the rough Bergomi model (Q4554409)
From MaRDI portal
!
This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use the normal view instead:
scientific article; zbMATH DE number 6979446
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| 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)
0 references
14 November 2018
0 references
implied volatility
0 references
fractional Brownian motion
0 references
rough Bergomi
0 references
VIX futures
0 references
VIX smile
0 references
0 references
0 references
0.9999997615814208
0 references
0.8576349020004272
0 references
0.856383740901947
0 references
0.8562328219413757
0 references
0.8442056775093079
0 references
