Smiling for the Delayed Volatility Swap

Using change of time method, we derive a closed-form formula for the volatility swap in an adjusted version of the Heston model with stochastic volatility with delay. The numerical result is presented for underlying EURUSD on September 30th 2011. The novelty of the paper is two-fold: application of change of time method to the delayed Heston model and calculation of the volatility swap for this model

Year of publication:	2012
Authors:	Swishchuk, Anatoliy V. ; Vadori, Nelson
Publisher:	[S.l.] : SSRN
Subject:	Volatilität \| Volatility \| Swap \| Optionspreistheorie \| Option pricing theory
Description of contents:	Abstract [papers.ssrn.com] ; Abstract [doi.org]

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