Asymptotics for volatility derivatives in multi-factor rough volatility models
نویسندگان
چکیده
Abstract We study the small-time implied volatility smile for Realised Variance options, and investigate effect of correlation in multi-factor models on linearity smile. also develop an approximation scheme density, allowing fast accurate pricing Volatility Swaps. Additionally, we establish small-noise asymptotic behaviour a general class VIX options large strike regime.
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ژورنال
عنوان ژورنال: Mathematics and Financial Economics
سال: 2021
ISSN: ['1862-9679', '1862-9660']
DOI: https://doi.org/10.1007/s11579-020-00288-5