On VIX futures in the rough Bergomi model
On VIX futures in the rough Bergomi model
复制标题
论贝尔戈米粗略模型中的 VIX 期货
DOI：
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发表时间：
2017
期刊：
影响因子：
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通讯作者：
Aitor Muguruza
中科院分区：
文献类型：
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作者：
A. Jacquier;C. Martini;Aitor Muguruza
摘要Bayer等人[Quant. Finance，2015，1-18]通过以非常现实的方式再现隐含波动率微笑，特别是对于短期期限，其表现优于传统的马尔科夫随机波动率模型。我们在这里调查的动态波动率和远期方差曲线产生的这个模型，并开发有效的定价算法波动率期货和期权。我们进一步分析了粗糙Bergomi模型联合描述VIX和SPX的有效性，并提出了一种基于Bennedsen等人[Finance Stoch.，即将出版]。
Abstract 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].