Forward Variance Dynamics: Bergomi’s Model Revisited

DOI10.1080/1350486X.2013.812329zbMath1396.91757OpenAlexW2136165598MaRDI QIDQ4585902

Sidi Mohamed 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

hedgingimplied volatilityVIX futuresVIX optionsvariance swapforward variance

Mathematics Subject Classification ID

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

Cites Work

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

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