Forward variance dynamics: Bergomi's model revisited

DOI10.1080/1350486X.2013.812329MaRDI QIDQ4585902zbMATH OpenOpenAlexFDO

Authors S. M. Ould Aly

Publication date 11 September 2018

Published in Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/1350486x.2013.812329

zbMATH Keywords

forward variancehedgingimplied volatilityvariance swapVIX futuresVIX options

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

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Cites work

• Consistent variance curve models
• Nonparametric estimation for stochastic volatility models

Cited in

(10)

• Affine forward variance models
• Is normal backwardation normal? Valuing financial futures with a local index-rate covariance
• VARIANCE TERM STRUCTURE AND VIX FUTURES PRICING
• On VIX futures in the rough Bergomi model
• Index options and volatility derivatives in a Gaussian random field risk-neutral density model
• A consistent pricing model for index options and volatility derivatives
• On VIX futures in the rough Bergomi model
• The VIX and future information
• The VIX Future in Bergomi Models: Fast Approximation Formulas and Joint Calibration with S&P 500 Skew
• A long-memory version of the bergomi model: pricing and calibration for American put option

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