Markovian Approximation of the Rough Bergomi Model for Monte Carlo Option Pricing

Markovian Approximation of the Rough Bergomi Model for Monte Carlo Option Pricing

The recently developed rough Bergomi (rBergomi) model is a rough fractional stochastic volatility (RFSV) model which can generate a more realistic term structure of at-the-money volatility skews compared with other RFSV models. However, its non-Markovianity brings mathematical and computational chal...

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Bibliographic Details
Main Authors: Qinwen Zhu, Grégoire Loeper, Wen Chen, Nicolas Langrené
Format: Article
Language:English
Published: MDPI AG 2021-03-01
Series:Mathematics
Subjects:
rough fractional stochastic volatility
forward variance model
markovian representation
volatility skew
Volterra integral
rough heston
Online Access:https://www.mdpi.com/2227-7390/9/5/528

Internet

https://www.mdpi.com/2227-7390/9/5/528

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