The VIX Future in Bergomi Models: Fast Approximation Formulas and Joint Calibration with S&P 500 Skew
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The VIX Future in Bergomi Models: Fast Approximation Formulas and Joint Calibration with S&P 500 Skew
The VIX Future in Bergomi Models: Fast Approximation Formulas and Joint Calibration with S&P 500 Skew
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Cites work
- A consistent pricing model for index options and volatility derivatives
- A regime-switching Heston model for VIX and S&P 500 implied volatilities
- Analysis, Geometry, and Modeling in Finance
- Analytical approximations of local-Heston volatility model and error analysis
- Asymptotic analysis for stochastic volatility: martingale expansion
- Bounds for VIX futures given S{\&}P 500 smiles
- Calibration of local‐stochastic volatility models by optimal transport
- Complete Models with Stochastic Volatility
- Computing the implied volatility in stochastic volatility models
- Consistent modelling of VIX and equity derivatives using a \(3/2\) plus jumps model
- Consistent variance curve models
- Expansion formulas for European options in a local volatility model
- Exponentiation of conditional expectations under stochastic volatility
- Extreme-strike comparisons and structural bounds for SPX and VIX options
- Heston stochastic vol-of-vol model for joint calibration of VIX and S\&P 500 options
- scientific article; zbMATH DE number 6521211 (Why is no real title available?)
- scientific article; zbMATH DE number 4052785 (Why is no real title available?)
- scientific article; zbMATH DE number 1517499 (Why is no real title available?)
- scientific article; zbMATH DE number 1414609 (Why is no real title available?)
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- IMPLIED AND LOCAL VOLATILITIES UNDER STOCHASTIC VOLATILITY
- Inversion of convex ordering in the VIX market
- Joint modeling and calibration of SPX and VIX by optimal transport
- Linking Vanillas and VIX Options: A Constrained Martingale Optimal Transport Problem
- Maturity cycles in implied volatility
- On smile properties of volatility derivatives: understanding the VIX skew
- On the short-time behavior of the implied volatility for jump-diffusion models with stochastic volatility
- On VIX futures in the rough Bergomi model
- Option pricing in the moderate deviations regime
- Pricing under rough volatility
- Quadratic Hawkes processes for financial prices
- Regime-switching stochastic volatility model: estimation and calibration to VIX options
- Short-term at-the-money asymptotics under stochastic volatility models
- Smart expansion and fast calibration for jump diffusions
- Stochastic volatility, smile & asymptotics
- The fine-structure of volatility feedback. I: Multi-scale self-reflexivity
- The large-maturity smile for the Heston model
- The short-time behavior of VIX-implied volatilities in a multifactor stochastic volatility framework
- The small-time smile and term structure of implied volatility under the Heston model
- Time dependent Heston model
- Time reversal invariance in finance
- Volatility conditional on price trends
- Volatility is rough
- Weak approximation of averaged diffusion processes
Cited in
(15)- Bounds for VIX futures given S{\&}P 500 smiles
- On VIX futures in the rough Bergomi model
- Forward variance dynamics: Bergomi's model revisited
- On VIX futures in the rough Bergomi model
- 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
- VIX pricing in the rBergomi model under a regime switching change of measure
- Deep Curve-Dependent PDEs for Affine Rough Volatility
- Dispersion-constrained martingale Schrödinger problems and the exact joint S\&P 500/VIX smile calibration puzzle
- A general framework for a joint calibration of VIX and VXX options
- Volatility models in practice: rough, path-dependent, or Markovian?
- Dispersion-constrained martingale Schrödinger bridges: joint entropic calibration of stochastic volatility models to S\&P 500 and VIX smiles
- Pricing and calibration in the 4-factor path-dependent volatility model
- Calibration and option pricing with stochastic volatility and double exponential jumps
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