Functional quantization of rough volatility and applications to volatility derivatives
Fuente:
arXiv
Enregistré dans:
| Auteurs principaux: | , , |
|---|---|
| Format: | Preprint |
| Publié: |
2021
|
| Sujets: | |
| Accès en ligne: | |
| Tags: |
Ajouter un tag
Pas de tags, Soyez le premier à ajouter un tag!
|
| _version_ | 1866910357546598400 |
|---|---|
| author | Bonesini, Ofelia Callegaro, Giorgia Jacquier, Antoine |
| author_facet | Bonesini, Ofelia Callegaro, Giorgia Jacquier, Antoine |
| contents | We develop a product functional quantization of rough volatility. Since the quantizers can be computed offline, this new technique, built on the insightful works by Luschgy and Pages, becomes a strong competitor in the new arena of numerical tools for rough volatility. We concentrate our numerical analysis to pricing VIX Futures in the rough Bergomi model and compare our results to other recently suggested benchmarks. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2104_04233 |
| institution | arXiv |
| publishDate | 2021 |
| record_format | arxiv |
| spellingShingle | Functional quantization of rough volatility and applications to volatility derivatives Bonesini, Ofelia Callegaro, Giorgia Jacquier, Antoine Pricing of Securities Probability 91G20, 91G80, 60G15 We develop a product functional quantization of rough volatility. Since the quantizers can be computed offline, this new technique, built on the insightful works by Luschgy and Pages, becomes a strong competitor in the new arena of numerical tools for rough volatility. We concentrate our numerical analysis to pricing VIX Futures in the rough Bergomi model and compare our results to other recently suggested benchmarks. |
| title | Functional quantization of rough volatility and applications to volatility derivatives |
| topic | Pricing of Securities Probability 91G20, 91G80, 60G15 |
| url | https://arxiv.org/abs/2104.04233 |