Implied Volatility Expansions for VIX Options in Forward Variance Models

2026/04/28 by Ying Liao, Ankush Agarwal, Florian Bourgey · 1 voice · 1 citation
Economics, Econometrics and Finance · #q-fin.CP #q-fin.MF

paper · pdf

arxiv published 2026/04/28 · arxiv updated 2026/05/25

Abstract

We develop closed-form expansions for the implied volatility of VIX options within the class of forward variance models. Our approach builds on weak-approximation techniques for VIX option prices and yields explicit implied volatility expansions with computable correction terms. The resulting formulas enable fast and accurate calibration without requiring numerical root-finding using option prices. We illustrate the performance of the proposed expansions in both standard and rough Bergomi-type models, as well as in mixed specifications, and demonstrate their accuracy through numerical experiments.

Citations

• Weak approximations and VIX option price expansions in forward variance curve models
• Volatility options in rough volatility models
• On VIX Futures in the rough Bergomi model

Cited by

• VIX options in Bergomi models

Discussions

• Ying Liao, Ankush Agarwal, Florian Bourgey: Implied Volatility Expansions for VIX Options in Forward Variance Models https://arxiv.org/abs/2604.25123 https://arxiv.org/pdf/2604.25123 https://arxiv.org [bsky, 0 points, 0 comments]

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