On VIX Futures in the Rough Bergomi Model

Jacquier, A; Muguruza, A

doi:https://dx.doi.org/10.2139/ssrn.2900248

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On VIX Futures in the Rough Bergomi Model

File(s)

JMM-RoughBergomi_Final2.pdf (685.66 KB)

Accepted version

Author(s)

Jacquier, A

Muguruza, A

Type

Journal Article

Date Issued

2017-12-31

URI

http://hdl.handle.net/10044/1/52945

DOI

https://dx.doi.org/10.2139/ssrn.2900248

Journal / Book Title

SSRN Electronic Journal

Sponsor

Engineering & Physical Science Research Council (EPSRC)

Grant Number

EP/M008436/1

Publication Status

Published