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/10.48550/arxiv.1701.04260

Publication URI: https://arxiv.org/abs/1701.04260

Type: Preprint