论文标题
在粗糙的波动率模型中向前启动波动互动
Forward start volatility swaps in rough volatility models
论文作者
论文摘要
本文显示了向前启动波动式交换价格与向前启动的零vanna之间的关系，暗示着在粗糙的波动模型中前进选项的波动性。结果表明，在短期到期限制了与$ h \ in（0，\ frac12）$相关案例的前术语中的近似误差不取决于正向开始日期的时间，而仅取决于成熟日期和正向启动日期之间的差异和hurst参数$ h $。
This paper shows the relationship between the forward start volatility swap price and the forward start zero vanna implied volatility of forward start options in rough volatility models. It is shown that in the short time-to-maturity limit the approximation error in the leading term of the correlated case with $H\in(0,\frac12)$ does not depend on the time to forward start date, but only on the difference between the maturity date and forward start date and on the Hurst parameter $H$.
