Implied Volatility Expansions for VIX Options in Forward Variance Models

By Y. Liao, A. Agarwal, F. Bourgey

Published 2026-05-25

Everscope rating

1753

Relevance to quantitative trading

8 / 10

Implementation complexity

6 / 10

Reproducibility

4 / 5

About this paper

Methodology: Weak-approximation-based implied volatility expansion with Hermite polynomial corrections. Problem types: Optimization, Risk Management, Derivative Pricing, Calibration.

arXiv:2604.25123 · Code · Paper rankings

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