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Search: subject:"Forward variance curve"
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Option pricing theory
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Stochastischer Prozess
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Derivat
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Forward variance curve
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Weak approximation
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forward variance curve
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De Marco, Stefano
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Quantitative finance
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Deep calibration with random grids
Baschetti, Fabio
;
Bormetti, Giacomo
;
Rossi, Pietro
- In:
Quantitative finance
24
(
2024
)
9
,
pp. 1263-1285
Persistent link: https://www.econbiz.de/10015196885
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2
Weak approximations and VIX option price expansions in
forward
variance
curve
models
Bourgey, F.
;
De Marco, Stefano
;
Gobet, Emmanuel
- In:
Quantitative finance
23
(
2023
)
9
,
pp. 1259-1283
Persistent link: https://www.econbiz.de/10014339914
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3
Multilevel Monte Carlo simulation for VIX options in the rough Bergomi model
Bourgey, Florian
;
De Marco, Stefano
- In:
The journal of computational finance
26
(
2022
)
2
,
pp. 53-82
Persistent link: https://www.econbiz.de/10013549658
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