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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
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A model-free approximation for barrier options in a general stochastic volatility framework
Rolloos, Frido; Shiraya, Kenichiro - In: The journal of futures markets 44 (2024) 6, pp. 923-935
Persistent link: https://www.econbiz.de/10014536706
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Forward start volatility swaps in rough volatility models
Alòs, Elisa; Rolloos, Frido; Shiraya, Kenichiro - 2022
Persistent link: https://www.econbiz.de/10014266236