The classical Black-Scholes model describes the market behavior assuming that the volatility process is a constant, and the Heston model extends it to the case where the volatility is a stochastic process. Then, the rough Bergomi (rBergomi) model was proposed to improve the description of the...

The recently developed rough Bergomi (rBergomi) model is a rough fractional stochastic volatility (RFSV) model which can generate more realistic term structure of at-the-money volatility skews compared with other RFSV models. However, its non-Markovianity brings mathematical and computational...