On VIX futures in the rough Bergomi model

被引：35

作者：

Jacquier, Antoine ^{[1
]}

Martini, Claude ^{[2
]}

Muguruza, Aitor ^{[1
]}

机构：

[1] Imperial Coll London, Dept Math, London, England

[2] Zeliade Syst, Paris, France

来源：

QUANTITATIVE FINANCE | 2018年 / 18卷 / 01期

基金：

英国工程与自然科学研究理事会;

关键词：

Implied volatility; Fractional Brownian motion; Rough Bergomi; VIX futures; VIX smile; STOCHASTIC VOLATILITY; SPX OPTIONS;

D O I：

10.1080/14697688.2017.1353127

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

The rough Bergomi model introduced by Bayer et al. [Quant. Finance, 2015, 1-18] 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 et al. [Finance Stoch., forthcoming].

引用

页码：45 / 61

页数：17

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