Cover Image

VIX options in Bergomi models

Fuente: arXiv

Saved in:

Bibliographic Details
Main Authors:	Guo, Desen, Pirjol, Dan, Zhu, Lingjiong
Format:	Preprint
Published:	2026
Subjects:	Pricing of Securities
Online Access:	Acceder al recurso
Tags:	Add Tag No Tags, Be the first to tag this record!

Similar Items

VIX options in the SABR model
by: Pirjol, Dan, et al.
Published: (2025)

VIX and European options with jumps in the short-maturity regime
by: Guo, Desen, et al.
Published: (2026)

Short-maturity asymptotics for VIX and European options in local-stochastic volatility models
by: Pirjol, Dan, et al.
Published: (2024)

Asian options for local-stochastic volatility models in the short-maturity regime
by: Pirjol, Dan, et al.
Published: (2024)

Short-maturity asymptotics for option prices with interest rates effects
by: Pirjol, Dan, et al.
Published: (2024)

Short-maturity options on realized variance in local-stochastic volatility models
by: Pirjol, Dan, et al.
Published: (2024)

Asymptotics for Short Maturity Asian Options in Jump-Diffusion models with Local Volatility
by: Pirjol, Dan, et al.
Published: (2023)

Pricing and Calibration of VIX Derivatives in Mixed Bergomi Models via Quantisation
by: Kyakutwika, Nelson, et al.
Published: (2025)

Multilevel Monte Carlo simulation for VIX options in the rough Bergomi model
by: Bourgey, Florian, et al.
Published: (2021)

Alternatives to classical option pricing
by: Lindquist, W. Brent, et al.
Published: (2024)

Path-dependent, ESG-valued, option pricing in the Bachelier-Black-Scholes-Merton model
by: Divelgama, Bhathiya, et al.
Published: (2025)

Denoised Monte Carlo for option pricing and Greeks estimation
by: Daniluk, Andrzej, et al.
Published: (2024)

Joint Pricing in SPX and VIX Derivative Markets with Composite Change of Time Models
by: Cheng, Liexin, et al.
Published: (2024)

Pricing and hedging the prepayment option of mortgages under stochastic housing market activity
by: Perotti, Leonardo, et al.
Published: (2025)

On some semi-parametric estimates for European option prices
by: Marinelli, Carlo
Published: (2023)

On options-driven realized volatility forecasting: Information gains via rough volatility model
by: Fan, Zheqi, et al.
Published: (2026)

Pricing of wrapped Bitcoin and Ethereum on-chain options
by: Zbandut, Anastasiia
Published: (2025)

Defaultable bond liquidity spread estimation: an option-based approach
by: Rossi, Pietro, et al.
Published: (2025)

Interpretable Factors of Firm Characteristics
by: Jiao, Yuxiao, et al.
Published: (2025)

Multivariate Lévy models: calibration and pricing
by: Amici, Giovanni, et al.
Published: (2023)

Risk-neutral valuation of options under arithmetic Brownian motions
by: Liu, Qiang, et al.
Published: (2024)

CBI-time-changed Lévy processes for multi-currency modeling
by: Fontana, Claudio, et al.
Published: (2021)

On short-time behavior of implied volatility in a market model with indexes
by: Chau, Huy N., et al.
Published: (2024)

Pricing of barrier options by marginal functional quantization
by: Sagna, Abass
Published: (2010)

SABR/LIBOR market models: pricing and calibration for some interest rate derivatives
by: Ferreiro, A. M., et al.
Published: (2024)

Floating exercise boundaries for American options in time-inhomogeneous models
by: Itkin, Andrey, et al.
Published: (2025)

American option pricing using generalised stochastic hybrid systems
by: Buckwar, Evelyn, et al.
Published: (2024)

Semi-analytic pricing of American options in time-dependent jump-diffusion models with exponential jumps
by: Itkin, Andrey
Published: (2023)

Rough Bergomi turns grey
by: Jacquier, Antoine, et al.
Published: (2025)

American options valuation in time-dependent jump-diffusion models via integral equations and characteristic functions
by: Itkin, Andrey
Published: (2025)

Semi-analytical pricing of options written on SOFR futures
by: Itkin, Andrey, et al.
Published: (2024)

A review of the Markov model of life insurance with a view to surplus
by: Haçarız, Oytun, et al.
Published: (2025)

Corporate Bond Yield Curve Modeling: A Rating-Based Regime-Switching Generalized CIR Approach
by: Xu, Maochun, et al.
Published: (2026)

The Corporate Bond Factor Replication Crisis
by: Dickerson, Alexander, et al.
Published: (2026)

Fair Pricing in Long-Term Insurance: A Unified Framework
by: Lim, Hong Beng, et al.
Published: (2026)

One Rising Ship Sinks Other Ships: Cross-Chain Negative Spillovers in Crypto Markets
by: Ma, Mengzhong, et al.
Published: (2026)

Keeping Up with the Correlations: Stochastic Spot/Volatility Correlation and Exotic Pricing
by: Higgins, Mark
Published: (2026)

The Co-Pricing Factor Zoo
by: Dickerson, Alexander, et al.
Published: (2026)

Priced risk in corporate bonds
by: Dickerson, Alexander, et al.
Published: (2026)

Valuation of GLWB-LTC Annuities with Lévy Equity Dynamics, Stochastic Interest Rates and Health-State Transitions
by: Molent, Andrea
Published: (2026)