VIX pricing in the rBergomi model under a regime switching change of measure

The rBergomi model under the physical measure consists of modeling the log-variance as a truncated Brownian semi-stationary process. Then, a deterministic change of measure is applied. The rBergomi model is able to reproduce observed market SP500 smiles with few parameters, but by virtue of the deterministic change of measure, produces flat VIX smiles, in contrast to the upward sloping smiles observed in the market. We use the exact solution for a certain inhomogeneous fractional Ornstein-Uhlenb...