VIX pricing in the rBergomi model under a regime switching change of measure

被引：1
|
作者：
Guerreiro, Henrique [1 ]
Guerra, Joao [1 ]
机构：
[1] Univ Lisbon, ISEG Sch Econ & Management, REM Res Econ & Math, CEMAPRE, Rua Quelhas 6, P-1200781 Lisbon, Portugal
来源：
QUANTITATIVE FINANCE | 2023年 / 23卷 / 05期
关键词：
STOCHASTIC VOLTERRA-EQUATIONS; VOLATILITY; UNIQUENESS; EXISTENCE;
D O I：
10.1080/14697688.2023.2178321
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
A generalised rough Bergomi model with regime switching stochastic change of measure yields upward sloping VIX smiles
引用
收藏
页码：721 / 738
页数：18
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