Rough Bergomi turns grey
Pricing of Securities
2025-05-14 v1 Probability
Abstract
We propose a tractable extension of the rough Bergomi model, replacing the fractional Brownian motion with a generalised grey Brownian motion, which we show to be reminiscent of models with stochastic volatility of volatility. This extension breaks away from the log-Normal assumption of rough Bergomi, thereby making it a viable suggestion for the Equity Holy Grail -- the joint SPX/VIX options calibration. For this new (class of) model(s), we provide semi-closed and asymptotic formulae for SPX and VIX options and show numerically its potential advantages as well as calibration results.
Cite
@article{arxiv.2505.08623,
title = {Rough Bergomi turns grey},
author = {Antoine Jacquier and Adriano Oliveri Orioles and Zan Zuric},
journal= {arXiv preprint arXiv:2505.08623},
year = {2025}
}
Comments
27 pages, 44 figures