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- W4300792379 abstract "The rough Bergomi model introduced by Bayer, Friz and Gatheral has been outperforming conventional Markovian stochastic volatility models by reproducing implied volatility smiles in a very realistic manner, in particular for short maturities. We investigate here the dynamics of the VIX and the forward variance curve generated by this model, and develop efficient pricing algorithms for VIX futures and options. We further analyse the validity of the rough Bergomi model to jointly describe the VIX and the SPX, and present a joint calibration algorithm based on the hybrid scheme by Bennedsen, Lunde and Pakkanen." @default.
- W4300792379 created "2022-10-04" @default.
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- W4300792379 date "2017-01-16" @default.
- W4300792379 modified "2023-09-30" @default.
- W4300792379 title "On VIX Futures in the rough Bergomi model" @default.
- W4300792379 doi "https://doi.org/10.48550/arxiv.1701.04260" @default.
- W4300792379 hasPublicationYear "2017" @default.
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