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On VIX futures in the rough Bergomi model
Jacquier, Antoine
;
Martini, Claude
;
Muguruza, Aitor
- In:
Quantitative finance
18
(
2018
)
1
,
pp. 45-61
Persistent link: https://www.econbiz.de/10011905829
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Moment generating functions and normalized implied volatilities : unification and extension via Fukasawa's pricing formula
De Marco, Stefano
;
Martini, Claude
- In:
Quantitative finance
18
(
2018
)
4
,
pp. 609-622
Persistent link: https://www.econbiz.de/10011906443
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