VIX options in Bergomi models
Fuente:
arXiv
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| Autori principali: | , , |
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| Natura: | Preprint |
| Pubblicazione: |
2026
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| _version_ | 1866917555684245504 |
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| author | Guo, Desen Pirjol, Dan Zhu, Lingjiong |
| author_facet | Guo, Desen Pirjol, Dan Zhu, Lingjiong |
| contents | We present a study of the leading-order asymptotics for VIX option prices in Bergomi models in the short-maturity and small volatility-of-volatility regimes. Both out-of-the-money (OTM) and at-the-money (ATM) asymptotics are considered for one-factor, two-factor Bergomi and $N$-factor models. The leading-order asymptotics are obtained in closed-form, which are translated into predictions for the small-maturity asymptotics of the VIX implied volatility. Numerical illustrations are provided to illustrate the efficiency of the closed-form asymptotic formulas. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2606_02336 |
| institution | arXiv |
| publishDate | 2026 |
| record_format | arxiv |
| spellingShingle | VIX options in Bergomi models Guo, Desen Pirjol, Dan Zhu, Lingjiong Pricing of Securities We present a study of the leading-order asymptotics for VIX option prices in Bergomi models in the short-maturity and small volatility-of-volatility regimes. Both out-of-the-money (OTM) and at-the-money (ATM) asymptotics are considered for one-factor, two-factor Bergomi and $N$-factor models. The leading-order asymptotics are obtained in closed-form, which are translated into predictions for the small-maturity asymptotics of the VIX implied volatility. Numerical illustrations are provided to illustrate the efficiency of the closed-form asymptotic formulas. |
| title | VIX options in Bergomi models |
| topic | Pricing of Securities |
| url | https://arxiv.org/abs/2606.02336 |