Forward start volatility swaps in rough volatility models

Elisa Alòs, Frido Rolloos, Kenichiro Shiraya

Year of publication:	2022
Authors:	Alòs, Elisa ; Rolloos, Frido ; Shiraya, Kenichiro
Publisher:	[Tokyo] : [Center for Advanced Research in Finance]
Subject:	Rough volatiliy \| volatility swap \| implied volatility \| Malliavin calculus \| Volatilität \| Volatility \| Swap \| Optionspreistheorie \| Option pricing theory \| Zinsderivat \| Interest rate derivative \| Derivat \| Derivative

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