Forward variance dynamics : Bergomi’s model revisited
نویسندگان
چکیده
In this article, we propose an arbitrage-free modeling framework for the joint dynamics of forward variance along with the underlying index, which can be seen as a combination of the two approaches proposed by Bergomi. The di erence between our modeling framework and the Bergomi models (2008), is mainly the ability to compute the prices of VIX futures and options by using semi-analytic formulas. Also, we can express the sensitivities of the prices of VIX futures and options with respect to the model parameters, which enables us to propose an e cient and easy calibration to the VIX futures and options. The calibrated model allows to Deltahedge VIX options by trading in VIX futures, the corresponding hedge ratios can be computed analytically.
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