The VIX Future in Bergomi Models: Fast Approximation Formulas and Joint Calibration with S&P 500 Skew (Q5872885)
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scientific article; zbMATH DE number 7638217
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| English | The VIX Future in Bergomi Models: Fast Approximation Formulas and Joint Calibration with S&P 500 Skew |
scientific article; zbMATH DE number 7638217 |
Statements
The VIX Future in Bergomi Models: Fast Approximation Formulas and Joint Calibration with S&P 500 Skew (English)
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4 January 2023
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VIX
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VIX futures
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VIX power payoffs
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Bergomi models
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implied \(\mathrm{VIX}^2\) volatility
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volatility-of-volatility expansion
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at-the-money skew
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S\&P 500/VIX joint calibration
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path-dependent volatility
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Hermite polynomials
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0.8562328219413757
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0.8562326431274414
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0.8478958606719971
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0.8246415853500366
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0.781160295009613
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