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q-fin.MF2022★ 1 cited
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…
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.