IDEAS home Printed from https://ideas.repec.org/p/cfi/fseres/cf544.html
   My bibliography  Save this paper

Forward start volatility swaps in rough volatility models (Forthcoming in Asia-Pacific Financial Markets)

Author

Listed:
  • Elisa Alòs

    (Dpt. d’Economia i Empresa, Universitat Pompeu Fabra)

  • Frido Rolloos
  • Kenichiro Shiraya

    (Graduate School of Economics, The University of Tokyo)

Abstract

This paper shows the relationship between the forward start volatility swap price and the forward start zero vanna implied volatility of forward start options in rough volatility models. It is shown that in the short time-to-maturity limit the approximation error in the leading term of the correlated case with H∈(0,1/2) does not depend on the time to forward start date, but only on the difference between the maturity date and forward start date and on the Hurst parameter H.

Suggested Citation

  • Elisa Alòs & Frido Rolloos & Kenichiro Shiraya, 2022. "Forward start volatility swaps in rough volatility models (Forthcoming in Asia-Pacific Financial Markets)," CARF F-Series CARF-F-544, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
    • Handle: RePEc:cfi:fseres:cf544
    as

    Download full text from publisher

    To our knowledge, this item is not available for download. To find whether it is available, there are three options:
    1. Check below whether another version of this item is available online.
    2. Check on the provider's web page whether it is in fact available.
    3. Perform a
    for a similarly titled item that would be available.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:cfi:fseres:cf544. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: the person in charge (email available below). General contact details of provider: https://edirc.repec.org/data/catokjp.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.