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q-fin.MF2026
Magic strikes for variance and gamma contracts, and other attainable claims
Florian Bourgey, Jim Gatheral
Building on the forest expansion of Alòs, Gatheral and Radoičić and on the explicit Bergomi-Guyon smile expansion derived by Bourgey and Gatheral (2026), we derive fixed-point appr…
q-fin.MF2026
Demystifying the Bergomi-Guyon expansion
Florian Bourgey, Jim Gatheral
Alòs, Gatheral and Radoičić derived the Bergomi-Guyon expansion of the implied variance smile from the forest expansion of the cumulant generating function. Its coefficients are su…