VIX options in Bergomi models

Desen Guo, Dan Pirjol and Lingjiong Zhu

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Abstract: We present a study of the leading-order asymptotics for VIX option prices in Bergomi models in the short-maturity and small volatility-of-volatility regimes. Both out-of-the-money (OTM) and at-the-money (ATM) asymptotics are considered for one-factor, two-factor Bergomi and $N$-factor models. The leading-order asymptotics are obtained in closed-form, which are translated into predictions for the small-maturity asymptotics of the VIX implied volatility. Numerical illustrations are provided to illustrate the efficiency of the closed-form asymptotic formulas.

Date: 2026-06
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