Narrow search
Showing 1 - 3 of 3
Cover Image
Realized volatility moments implied by options with applications to the pricing of realized volatility options
Rolloos, Frido; Shiraya, Kenichiro - 2024
Persistent link: https://www.econbiz.de/10015164480
Cover Image
Forward start volatility swaps in rough volatility models
Alòs, Elisa; Rolloos, Frido; Shiraya, Kenichiro - 2022
Persistent link: https://www.econbiz.de/10014266236
Cover Image
A lower bound for the volatility swap in the lognormal SABR model
Alòs, Elisa; Rolloos, Frido; Shiraya, Kenichiro - 2023
Persistent link: https://www.econbiz.de/10015175610