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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…
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…