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20102024
most citedSmoothness and asymptotic estimates of densities for SDEs with locally smooth coefficients and applications to square root-type diffusions

32 citations · 42 across the 8 of their papers we have counts for

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q-fin.CP2021

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…