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Estimating the Hurst parameter from short term volatility swaps : a Malliavin calculus approach
Alòs, Elisa
;
Shiraya, Kenichiro
- In:
Finance and stochastics
23
(
2019
)
2
,
pp. 423-447
Persistent link: https://www.econbiz.de/10012023744
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2
Forward start volatility swaps in rough volatility models
Alòs, Elisa
;
Rolloos, Frido
;
Shiraya, Kenichiro
-
2022
Persistent link: https://www.econbiz.de/10014266236
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3
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
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