-1
$\begingroup$

I have a question pertaining Bergomi's modela and rough Bergomi's Model. It seems that it is the second gerneration of stochastic volatility models, (after Heston), because they are 2d stochastic volatility and they account for some limitations in 1d stochastic vol models.

However, from what I read, it seems like its only used to price volatility derivatives(e.g variance swaps or VIX)

Can the Bergomi model be used to price other products also? (e.g autocallable or FX tarf...)

$\endgroup$

Your Answer

By clicking "Post Your Answer", you acknowledge that you have read our updated terms of service, privacy policy and cookie policy, and that your continued use of the website is subject to these policies.

Browse other questions tagged or ask your own question.