VIX pricing in the rBergomi model under a regime switching change of measure
Author:
Affiliation:
1. ISEG—School of Economics and Management, REM—Research in Economics and Mathematics, Universidade de Lisboa, CEMAPRE, Rua do Quelhas 6, Lisboa 1200-781, Portugal
Funder
FCT
FCT/MCTES
Publisher
Informa UK Limited
Subject
General Economics, Econometrics and Finance,Finance
Link
https://www.tandfonline.com/doi/pdf/10.1080/14697688.2023.2178321
Reference29 articles.
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2. Weak existence and uniqueness for affine stochastic Volterra equations with L1-kernels
3. Abi Jaber, E., Cuchiero, C., Larsson, M. and Pulido, S., A weak solution theory for stochastic Volterra equations of convolution type. arXiv preprint arXiv:1909.01166, 2019a.
4. Affine Volterra processes
5. Markowitz Portfolio Selection for Multivariate Affine and Quadratic Volterra Models
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