1 citations · 1 across the 7 of their papers we have counts for
7 papers
Estimating the Hurst parameter from the zero vanna implied volatility and its dual
Elisa Alos, Frido Rolloos, Kenichiro Shiraya
The covariance between the return of an asset and its realized volatility can be approximated as the difference between two specific implied volatilities. In this paper it is prove…
A lower bound for the volatility swap in the lognormal SABR model
E. Alòs, F. Rolloos, K. Shiraya
In the short time to maturity limit it is proved that for the conditionally lognormal SABR model the zero vanna implied volatility is a lower bound for the volatility swap strike.…
Forward start volatility swaps in rough volatility models
Elisa Alòs, Frido Rolloos, Kenichiro Shiraya
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 m…
Hull and White and Alòs type formulas for barrier options in stochastic volatility models with nonzero correlation
Frido Rolloos
Two novel closed-form formulas for the price of barrier options in stochastic volatility models with zero interest rate and dividend yield but nonzero correlation between the asset…
The ATM implied volatility slope, the (dual) volatility swap, and the (dual) zero vanna implied volatility
Frido Rolloos
Exact relationships between the short time-to-maturity ATM implied volatility slope, the (dual) volatility swap, and the (dual) zero vanna implied volatility are given.
Nonparametric Pricing and Hedging of Volatility Swaps in Stochastic Volatility Models
Frido Rolloos
In this paper the zero vanna implied volatility approximation for the price of freshly minted volatility swaps is generalised to seasoned volatility swaps. We also derive how volat…
On the difference between the volatility swap strike and the zero vanna implied volatility
Elisa Alos, Frido Rolloos, Kenichiro Shiraya
In this paper, Malliavin calculus is applied to arrive at exact formulas for the difference between the volatility swap strike and the zero vanna implied volatility for volatilitie…