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On VIX futures in the rough Bergomi model
Jacquier, Antoine; Martini, Claude; Muguruza, Aitor - In: Quantitative finance 18 (2018) 1, pp. 45-61
Persistent link: https://www.econbiz.de/10011905829
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Black-Scholes in a CEV random environment
Jacquier, Antoine; Roome, Patrick - In: Mathematics and financial economics 12 (2018) 3, pp. 445-474
Persistent link: https://www.econbiz.de/10011963872
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Functional quantization of rough volatility and applications to volatility derivatives
Bonesini, O.; Callegaro, Giulia; Jacquier, Antoine - In: Quantitative finance 23 (2023) 12, pp. 1769-1792
Persistent link: https://www.econbiz.de/10014452470