Multilevel Monte Carlo simulation for VIX options in the rough Bergomi model
Florian Bourgey and Stefano De Marco
| Year of publication: |
2022
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|---|---|
| Authors: | Bourgey, Florian ; De Marco, Stefano |
| Published in: |
The journal of computational finance. - London : Infopro Digital Risk, ISSN 1460-1559, ZDB-ID 1433009-X. - Vol. 26.2022, 2, p. 53-82
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| Subject: | Chicago Board Options Exchange Volatility Index (VIX) options | multilevel Monte Carlo (MLMC) | forward variance curve | rough volatility | volatility modeling | Volatilität | Volatility | Monte-Carlo-Simulation | Monte Carlo simulation | Optionspreistheorie | Option pricing theory | Optionsgeschäft | Option trading | Derivat | Derivative | Stochastischer Prozess | Stochastic process |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.21314/JCF.2022.023 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013549658