2 papers
q-fin.CP2026
Implied Volatility Expansions for VIX Options in Forward Variance Models
Ying Liao, Ankush Agarwal, Florian Bourgey
We develop closed-form expansions for the implied volatility of VIX options within the class of forward variance models. Our approach builds on weak-approximation techniques for VI…
q-fin.CP2025
Multilevel Monte Carlo simulation for VIX options in the rough Bergomi model
Florian Bourgey, Stefano De Marco
We consider the pricing of VIX options in the rough Bergomi model. In this setting, the VIX random variable is defined by the one-dimensional integral of the exponential of a Gauss…