Asymptotics for volatility derivatives in multi-factor rough volatility models

1 code implementation • 7 Mar 2019 • Chloe Lacombe, Aitor Muguruza, Henry Stone

We present small-time implied volatility asymptotics for Realised Variance (RV) and VIX options for a number of (rough) stochastic volatility models via large deviations principle.