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arXiv · 2505.08623

Rough Bergomi turns grey

Antoine Jacquier·Adriano Oliveri Orioles·Zan Zuric
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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.

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Antoine Jacquier, Adriano Oliveri Orioles, Zan Zuric. 2025-05-13. Rough Bergomi turns grey. https://arxiv.org/abs/2505.08623

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