Title:

VIX Pricing in the rBergomi Model under a Regime Switching Change of Measure

Authors:

Henrique Guerreiro (U Lisboa)
Joao Guerra (U Lisboa)

Journal:

Quantitative Finance

Year:

2023

Volume:

23

Number:

5

Pages:

721-738

JEL codes:

C58 - Financial Econometrics
G13 - Contingent Pricing; Futures Pricing