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Pricing and Calibration of VIX Derivatives in Mixed Bergomi Models via Quantisation
Nelson Kyakutwika, Mesias Alfeus, Erik Schl\"ogl
https://arxiv.org/abs/2506.23409

Pricing and Calibration of VIX Derivatives in Mixed Bergomi Models via Quantisation
We apply vector quantisation within mixed one- and two-factor Bergomi models to implement a fast and efficient approach for option pricing in these models. This allows us to calibrate such models to market data of VIX futures and options. Our numerical tests confirm the efficacy of vector quantisation, making calibration feasible over daily data covering several months. This permits us to evaluate the calibration accuracy and the stability of the calibrated parameters, and we provide a comprehe…

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