On VIX futures in the rough Bergomi model
Antoine Jacquier, Claude Martini and Aitor Muguruza
| Year of publication: |
January 2018
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|---|---|
| Authors: | Jacquier, Antoine ; Martini, Claude ; Muguruza, Aitor |
| Published in: |
Quantitative finance. - Abingdon [u.a.] : Routledge, ISSN 1469-7688, ZDB-ID 2055458-8. - Vol. 18.2018, 1, p. 45-61
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| Subject: | Implied volatility | Fractional Brownian motion | Rough Bergomi | VIX futures | VIX smile | Volatilität | Volatility | Index-Futures | Index futures | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | Derivat | Derivative | Optionsgeschäft | Option trading | Futures |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/14697688.2017.1353127 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011905829