Volatility options in rough volatility models


We discuss the pricing and hedging of volatility options in some of the recently introduced rough volatility models. First, we develop efficient Monte Carlo methods and asymptotic approximations for computing option prices and... [ view full abstract ]


  1. Antoine Jacquier (Imperial College)
  2. Blanka Horvath (Imperial College)
  3. Peter Tankov (ENSAE ParisTech)

Topic Areas

Calibration , Hedging , Stochastic Volatility


TH-A-BU » Calibrating Stochastic Volatility Models (11:30 - Thursday, 19th July, Burke Theater)

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