The VIX Future in Bergomi Models: Fast Approximation Formulas and Joint Calibration with S&P 500 Skew

DOI10.1137/21M1437408zbMATH Open1503.91120MaRDI QIDQ5872885FDOQ5872885

Authors: Julien Guyon 

Publication date: 4 January 2023

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

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zbMATH Keywords

Hermite polynomialspath-dependent volatilityVIXVIX futuresat-the-money skewBergomi modelsimplied \(\mathrm{VIX}^2\) volatilityS\&P 500/VIX joint calibrationVIX power payoffsvolatility-of-volatility expansion

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Applications of stochastic analysis (to PDEs, etc.) (60H30)

Cites Work

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Cited In (5)

• Empirical analysis of rough and classical stochastic volatility models to the SPX and VIX markets
• Volatility is (mostly) path-dependent
• Weak approximations and VIX option price expansions in forward variance curve models
• Dispersion-constrained martingale Schrödinger problems and the exact joint S\&P 500/VIX smile calibration puzzle
• Deep Curve-Dependent PDEs for Affine Rough Volatility

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