Volatility options in rough volatility models

Keyphrases

• Rough Volatility Models 100%
• Volatility Options 100%
• Monte Carlo Method 50%
• Asymptotic Approximation 50%
• Volatility 50%
• Hedging 50%
• Price Ratio 50%
• Option Price 50%
• European Options 50%
• Volterra Process 50%
• Gaussian Volterra Process 50%
• VIX Smile 50%
• Option Smile 50%
• Hedge Ratio 50%
• VIX Options 50%

Mathematics

• Volterra Process 100%
• Gaussian Distribution 50%
• Option Price 50%
• Monte Carlo 50%
• Asymptotic Approximation 50%