Functional quantization of rough volatility and applications to the VIX
35 Pages Posted: 9 Apr 2021
Date Written: April 9, 2021
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
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