On VIX futures in the rough Bergomi model (2017)

First Author: Jacquier A
Attributed to:  Asymptotics and dynamics of forward implied volatility funded by EPSRC

Abstract

No abstract provided

Bibliographic Information

Digital Object Identifier: http://dx.doi.org/10.1080/14697688.2017.1353127

Publication URI: http://dx.doi.org/10.1080/14697688.2017.1353127

Type: Journal Article/Review

Parent Publication: Quantitative Finance

Issue: 1