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"The VIX Future in Bergomi Models: Fast Approximation Formulas and Joint ..."

Julien Guyon (2022)

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DOI: 10.1137/21M1437408

access: closed

type: Journal Article

metadata version: 2023-05-08

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Julien Guyon:
The VIX Future in Bergomi Models: Fast Approximation Formulas and Joint Calibration with S&P 500 Skew. SIAM J. Financial Math. 13(4): 1418-1485 (2022)

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