On VIX futures in the rough Bergomi model (Q4957230)
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scientific article; zbMATH DE number 7390931
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| default for all languages | No label defined |
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| English | On VIX futures in the rough Bergomi model |
scientific article; zbMATH DE number 7390931 |
Statements
On VIX futures in the rough Bergomi model (English)
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3 September 2021
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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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0.8576346039772034
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0.8563841581344604
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0.8562326431274414
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0.844205915927887
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