VIX pricing in the rBergomi model under a regime switching change of measure
From MaRDI portal
Publication:6158433
DOI10.1080/14697688.2023.2178321zbMath1525.91172arXiv2201.10391OpenAlexW4323350178MaRDI QIDQ6158433
Unnamed Author, João M. E. Guerra
Publication date: 20 June 2023
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2201.10391
Fractional processes, including fractional Brownian motion (60G22) Derivative securities (option pricing, hedging, etc.) (91G20)
Cites Work
- Unnamed Item
- Unnamed Item
- Affine fractional stochastic volatility models
- Existence and uniqueness of solutions to stochastic Volterra equations with singular kernels and non-Lipschitz coefficients
- The microstructural foundations of leverage effect and rough volatility
- Weak existence and uniqueness for affine stochastic Volterra equations with \(L^1\)-kernels
- Affine Volterra processes
- On the short-time behavior of the implied volatility for jump-diffusion models with stochastic volatility
- Time-inhomogeneous affine processes
- The characteristic function of Gaussian stochastic volatility models: an analytic expression
- Modeling and forecasting realized volatility with the fractional Ornstein-Uhlenbeck process
- Volatility is rough
- Markowitz Portfolio Selection for Multivariate Affine and Quadratic Volterra Models
- Pricing under rough volatility
- Volatility has to be rough
- On Smile Properties of Volatility Derivatives: Understanding the VIX Skew
- Volatility Options in Rough Volatility Models
- Mittag-Leffler Functions, Related Topics and Applications
- The characteristic function of rough Heston models
- Hybrid scheme for Brownian semistationary processes
This page was built for publication: VIX pricing in the rBergomi model under a regime switching change of measure
