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Rough Bergomi turns grey

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Listed:
  • Antoine Jacquier
  • Adriano Oliveri Orioles
  • Zan Zuric

Abstract

We propose a tractable extension of the rough Bergomi model, replacing the fractional Brownian motion with a generalised grey Brownian motion, which we show to be reminiscent of models with stochastic volatility of volatility. This extension breaks away from the log-Normal assumption of rough Bergomi, thereby making it a viable suggestion for the Equity Holy Grail -- the joint SPX/VIX options calibration. For this new (class of) model(s), we provide semi-closed and asymptotic formulae for SPX and VIX options and show numerically its potential advantages as well as calibration results.

Suggested Citation

  • Antoine Jacquier & Adriano Oliveri Orioles & Zan Zuric, 2025. "Rough Bergomi turns grey," Papers 2505.08623, arXiv.org.
    • Handle: RePEc:arx:papers:2505.08623
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    References listed on IDEAS

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