2 papers
q-fin.MF2022
Weak approximations and VIX option price expansions in forward variance curve models
Florian Bourgey, Stefano De Marco, Emmanuel Gobet
We provide explicit approximation formulas for VIX futures and options in forward variance models, with particular emphasis on the family of so-called Bergomi models: the one-facto…
q-fin.PR2020
On the harmonic mean representation of the implied volatility
Stefano De Marco
It is well know that, in the short maturity limit, the implied volatility approaches the integral harmonic mean of the local volatility with respect to log-strike, see [Berestycki…