Asymptotics for volatility derivatives in multi-factor rough volatility models-Reference-Cited by-同舟云学术

Asymptotics for volatility derivatives in multi-factor rough volatility models

Published:2021-01-09 Issue:3 Volume:15 Page:545-577
ISSN:1862-9679
Container-title:Mathematics and Financial Economics
language:en
Short-container-title:Math Finan Econ

Author:

Lacombe Chloe,Muguruza Aitor^ORCID,Stone Henry

Abstract

AbstractWe study the small-time implied volatility smile for Realised Variance options, and investigate the effect of correlation in multi-factor models on the linearity of the smile. We also develop an approximation scheme for the Realised Variance density, allowing fast and accurate pricing of Volatility Swaps. Additionally, we establish small-noise asymptotic behaviour of a general class of VIX options in the large strike regime.

Funder

Imperial College London

Publisher

Springer Science and Business Media LLC

Subject

Statistics, Probability and Uncertainty,Finance,Statistics and Probability

Link

https://link.springer.com/content/pdf/10.1007/s11579-020-00288-5.pdf

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