Rough Bergomi turns grey
Fuente:
arXiv
Enregistré dans:
| Auteurs principaux: | , , |
|---|---|
| Format: | Preprint |
| Publié: |
2025
|
| Sujets: | |
| Accès en ligne: | |
| Tags: |
Ajouter un tag
Pas de tags, Soyez le premier à ajouter un tag!
|
| _version_ | 1866908362137927680 |
|---|---|
| author | Jacquier, Antoine Orioles, Adriano Oliveri Zuric, Zan |
| author_facet | Jacquier, Antoine Orioles, Adriano Oliveri Zuric, Zan |
| contents | We propose a tractable extension of the rough Bergomi model, replacing the fractional Brownian motion with a generalised grey Brownian motion, which we show to be reminiscent of models with stochastic volatility of volatility. This extension breaks away from the log-Normal assumption of rough Bergomi, thereby making it a viable suggestion for the Equity Holy Grail -- the joint SPX/VIX options calibration. For this new (class of) model(s), we provide semi-closed and asymptotic formulae for SPX and VIX options and show numerically its potential advantages as well as calibration results. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2505_08623 |
| institution | arXiv |
| publishDate | 2025 |
| record_format | arxiv |
| spellingShingle | Rough Bergomi turns grey Jacquier, Antoine Orioles, Adriano Oliveri Zuric, Zan Pricing of Securities Probability 60G15, 60G22, 60H07, 91G20 We propose a tractable extension of the rough Bergomi model, replacing the fractional Brownian motion with a generalised grey Brownian motion, which we show to be reminiscent of models with stochastic volatility of volatility. This extension breaks away from the log-Normal assumption of rough Bergomi, thereby making it a viable suggestion for the Equity Holy Grail -- the joint SPX/VIX options calibration. For this new (class of) model(s), we provide semi-closed and asymptotic formulae for SPX and VIX options and show numerically its potential advantages as well as calibration results. |
| title | Rough Bergomi turns grey |
| topic | Pricing of Securities Probability 60G15, 60G22, 60H07, 91G20 |
| url | https://arxiv.org/abs/2505.08623 |