Saved in:
| Main Authors: | , , |
|---|---|
| Format: | Preprint |
| Published: |
2025
|
| Subjects: | |
| Online Access: | https://arxiv.org/abs/2506.23409 |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
| _version_ | 1866911029485633536 |
|---|---|
| author | Kyakutwika, Nelson Alfeus, Mesias Schlögl, Erik |
| author_facet | Kyakutwika, Nelson Alfeus, Mesias Schlögl, Erik |
| contents | We apply vector quantisation within mixed one- and two-factor Bergomi models to implement a fast and efficient approach for option pricing in these models. This allows us to calibrate such models to market data of VIX futures and options. Our numerical tests confirm the efficacy of vector quantisation, making calibration feasible over daily data covering several months. This permits us to evaluate the calibration accuracy and the stability of the calibrated parameters, and we provide a comprehensive assessment of the two models. Both models show excellent performance in fitting VIX derivatives, and their parameters show satisfactory stability over time. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2506_23409 |
| institution | arXiv |
| publishDate | 2025 |
| record_format | arxiv |
| spellingShingle | Pricing and Calibration of VIX Derivatives in Mixed Bergomi Models via Quantisation Kyakutwika, Nelson Alfeus, Mesias Schlögl, Erik Pricing of Securities We apply vector quantisation within mixed one- and two-factor Bergomi models to implement a fast and efficient approach for option pricing in these models. This allows us to calibrate such models to market data of VIX futures and options. Our numerical tests confirm the efficacy of vector quantisation, making calibration feasible over daily data covering several months. This permits us to evaluate the calibration accuracy and the stability of the calibrated parameters, and we provide a comprehensive assessment of the two models. Both models show excellent performance in fitting VIX derivatives, and their parameters show satisfactory stability over time. |
| title | Pricing and Calibration of VIX Derivatives in Mixed Bergomi Models via Quantisation |
| topic | Pricing of Securities |
| url | https://arxiv.org/abs/2506.23409 |