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.
State spaces of multifactor approximations of nonnegative Volterra processes
1 Pith paper cite this work. Polarity classification is still indexing.
1
Pith paper citing it
abstract
We show that the state spaces of multifactor Markovian processes, coming from approximations of nonnegative Volterra processes, are given by explicit linear transformation of the nonnegative orthant. We demonstrate the usefulness of this result for applications, including simulation schemes and PDE methods for nonnegative Volterra processes.
fields
q-fin.PR 1years
2025 1verdicts
CONDITIONAL 1representative citing papers
citing papers explorer
-
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.