On VIX futures in the rough Bergomi model

DOI10.1080/14697688.2017.1353127zbMath1400.91596arXiv1701.04260OpenAlexW2576267689MaRDI QIDQ4554409

Claude Martini, Aitor Muguruza, Antoine Jacquier

Publication date: 14 November 2018

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1701.04260

zbMATH Keywords

fractional Brownian motionimplied volatilityVIX futuresrough BergomiVIX smile

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Derivative securities (option pricing, hedging, etc.) (91G20)

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