VIX options in Bergomi models

By Desen Guo, Dan Pirjol, Lingjiong Zhu

Published 2026-06-02

Everscope rating

1984.7

Relevance to quantitative trading

8 / 10

Implementation complexity

6 / 10

Reproducibility

4 / 5

About this paper

Methodology: Large Deviations Asymptotic Analysis. Problem types: Derivative Pricing, Asymptotic Analysis, Risk Management.

arXiv:2606.02336 · Paper rankings

Open the interactive Everscope explorer for full analysis, charts, and paper battles.