Asymptotics for volatility derivatives in multi-factor rough volatility models

被引：3
|
作者：
Lacombe, Chloe [1 ]
Muguruza, Aitor [1 ,2 ]
Stone, Henry [1 ]
机构：
[1] Imperial Coll London, Dept Math, London, England
[2] Synergis, London, England
来源：
MATHEMATICS AND FINANCIAL ECONOMICS | 2021年 / 15卷 / 03期
基金：
英国工程与自然科学研究理事会;
关键词：
Rough volatility; VIX; Large deviations; Realised variance; Small-time asymptotics; Gaussian measure; Reproducing kernel Hilbert space; OPTIONS;
D O I：
10.1007/s11579-020-00288-5
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
We 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.
引用
收藏
页码：545 / 577
页数：33
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