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- W4287234772 abstract "We develop a product functional quantization of rough volatility. Since the quantizers can be computed offline, this new technique, built on the insightful works by Luschgy and Pages, becomes a strong competitor in the new arena of numerical tools for rough volatility. We concentrate our numerical analysis to pricing VIX Futures in the rough Bergomi model and compare our results to other recently suggested benchmarks." @default.
- W4287234772 created "2022-07-25" @default.
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- W4287234772 date "2021-04-09" @default.
- W4287234772 modified "2023-09-24" @default.
- W4287234772 title "Functional quantization of rough volatility and applications to the VIX" @default.
- W4287234772 doi "https://doi.org/10.48550/arxiv.2104.04233" @default.
- W4287234772 hasPublicationYear "2021" @default.
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