Functional quantization of rough volatility and applications to volatility derivatives
Pricing of Securities
2024-03-11 v2 Probability
Abstract
We develop a product functional quantization of rough volatility. Since the quantizers can be computed offline, this new technique, built on the insightful works by Luschgy and Pages, becomes a strong competitor in the new arena of numerical tools for rough volatility. We concentrate our numerical analysis to pricing VIX Futures in the rough Bergomi model and compare our results to other recently suggested benchmarks.
Keywords
Cite
@article{arxiv.2104.04233,
title = {Functional quantization of rough volatility and applications to volatility derivatives},
author = {Ofelia Bonesini and Giorgia Callegaro and Antoine Jacquier},
journal= {arXiv preprint arXiv:2104.04233},
year = {2024}
}