The grey Bergomi model adds a non-Gaussian 'grey' Brownian driver to rough Bergomi, producing new pricing and asymptotic formulas, but its joint SPX/VIX calibration remains inaccurate and can collapse back to the log-normal case.
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Rough Bergomi turns grey
The grey Bergomi model adds a non-Gaussian 'grey' Brownian driver to rough Bergomi, producing new pricing and asymptotic formulas, but its joint SPX/VIX calibration remains inaccurate and can collapse back to the log-normal case.