Functional quantization of rough volatility and applications to the VIX

35 Pages Posted: 9 Apr 2021

See all articles by Ofelia Bonesini

Ofelia Bonesini

University of Padua

Giorgia Callegaro

University of Padua

Antoine (Jack) Jacquier

Imperial College London; The Alan Turing Institute

Date Written: April 9, 2021

Abstract

We develop a product functional quantization of rough volatility. Since the quantizers can be computed offline, this new technique, built on the insightful works by Luschgy and Pages, becomes a strong competitor in the new arena of numerical tools for rough volatility. We concentrate our numerical analysis to pricing VIX Futures in the rough Bergomi model and compare our results to other recently suggested benchmarks.

Keywords: Riemann-Liouville process, Volterra process, functional quantization, series expansion, rough volatility, VIX options

JEL Classification: 91G20, 91G80, 60G15

Suggested Citation

Bonesini, Ofelia and Callegaro, Giorgia and Jacquier, Antoine, Functional quantization of rough volatility and applications to the VIX (April 9, 2021). Available at SSRN: https://ssrn.com/abstract=3822933 or http://dx.doi.org/10.2139/ssrn.3822933

Ofelia Bonesini

University of Padua ( email )

35131 Padua
Italy

Giorgia Callegaro

University of Padua ( email )

Via 8 Febbraio, 2
Padova, Vicenza 35122
Italy

Antoine Jacquier (Contact Author)

Imperial College London ( email )

South Kensington Campus
London SW7 2AZ, SW7 2AZ
United Kingdom

HOME PAGE: http://wwwf.imperial.ac.uk/~ajacquie/

The Alan Turing Institute ( email )

British Library, 96 Euston Road
London, NW12DB
United Kingdom

Do you have a job opening that you would like to promote on SSRN?

Paper statistics

Downloads
22
Abstract Views
242
PlumX Metrics