Pricing and Calibration of Bitcoin Inverse Options via the Rough Bergomi Model

By Riccardo Caruso

Published 2026-08-27

Everscope rating

1901.8

Relevance to quantitative trading

8 / 10

Implementation complexity

7 / 10

Reproducibility

4 / 5

About this paper

Methodology: Rough Bergomi Model Calibration with Hybrid Monte Carlo Pricing. Problem types: Optimization, Pricing, Calibration, Risk Management, Monte Carlo Simulation.

arXiv:2608.27575 · Paper rankings

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