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q-fin.PR2022
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…
q-fin.PR2022
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.
q-fin.PR2020
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…