Estimating the Hurst parameter from short term volatility swaps: a Malliavin calculus approach

DOI10.1007/s00780-019-00384-5zbMath1411.91536OpenAlexW2698604822MaRDI QIDQ1739059

Elisa Alòs, Kenichiro Shiraya

Publication date: 24 April 2019

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://www.carf.e.u-tokyo.ac.jp/old/pdf/workingpaper/fseries/F407.pdf

zbMATH Keywords

Malliavin calculusvolatility swapsfractional volatility models

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic calculus of variations and the Malliavin calculus (60H07)

Related Items (8)

Influence of risk tolerance on long-term investments: a Malliavin calculus approach ⋮ Continuation value computation using Malliavin calculus under general volatility stochastic process for American option pricing ⋮ On the Difference Between the Volatility Swap Strike and the Zero Vanna Implied Volatility ⋮ Short-Term At-the-Money Asymptotics under Stochastic Volatility Models ⋮ Calibrating rough volatility models: a convolutional neural network approach ⋮ REPLICATION SCHEME FOR THE PRICING OF EUROPEAN OPTIONS ⋮ Volatility has to be rough ⋮ On Smile Properties of Volatility Derivatives: Understanding the VIX Skew

Cites Work

• Asymptotic analysis for stochastic volatility: martingale expansion
• A generalization of the Hull and White formula with applications to option pricing approximation
• Differential equations driven by fractional Brownian motion
• On the short-time behavior of the implied volatility for jump-diffusion models with stochastic volatility
• Contingent Claims and Market Completeness in a Stochastic Volatility Model
• Long memory in continuous-time stochastic volatility models
• Valuation of volatility derivatives as an inverse problem
• The Malliavin Calculus and Related Topics
• Volatility is rough
• Short-Term At-the-Money Asymptotics under Stochastic Volatility Models
• On the Curvature of the Smile in Stochastic Volatility Models
• VOLATILITY DERIVATIVES AND MODEL-FREE IMPLIED LEVERAGE

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