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View article: Forward Start Volatility Swaps in Rough Volatility Models
Forward Start Volatility Swaps in Rough Volatility Models Open
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…
A model‐free approximation for barrier options in a general stochastic volatility framework Open
For a general stochastic volatility framework with correlation between the spot price and the instantaneous volatility, an analytical approximation for single barrier options with continuous monitoring is given. The approximation is expres…
View article: A Lower Bound for the Volatility Swap in the Lognormal SABR Model
A Lower Bound for the Volatility Swap in the Lognormal SABR Model Open
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. The result is valid for all values of the correlation para…
View article: A lower bound for the volatility swap in the lognormal SABR model
A lower bound for the volatility swap in the lognormal SABR model Open
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. The result is valid for all values of the correlation param…
View article: Forward start volatility swaps in rough volatility models
Forward start volatility swaps in rough volatility models Open
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…
View article: Hull and White and Alòs type formulas for barrier options in stochastic volatility models with nonzero correlation
Hull and White and Alòs type formulas for barrier options in stochastic volatility models with nonzero correlation Open
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 and its instantaneous volatility are derived. The first is…
View article: The ATM implied volatility slope, the (dual) volatility swap, and the (dual) zero vanna implied volatility
The ATM implied volatility slope, the (dual) volatility swap, and the (dual) zero vanna implied volatility Open
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.
View article: On the Difference Between the Volatility Swap Strike and the Zero Vanna Implied Volatility
On the Difference Between the Volatility Swap Strike and the Zero Vanna Implied Volatility Open
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 volatilities driven by fractional noise. To the best of our knowledge,…