Forward variance dynamics: Bergomi's model revisited

DOI10.1080/1350486X.2013.812329zbMATH Open1396.91757OpenAlexW2136165598MaRDI QIDQ4585902FDOQ4585902

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

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zbMATH Keywords

hedgingimplied volatilityvariance swapVIX optionsVIX futuresforward variance

Mathematics Subject Classification ID

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

Cites Work

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

Cited In (9)

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

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