Short-maturity options on realized variance in local-stochastic volatility models
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DOI: 10.1080/14697688.2025.2563107
Abstract: We derive the short-maturity asymptotics for prices of options on realized variance in local-stochastic volatility models. We consider separately the short-maturity asymptotics for out-of-the-money and in-the-money options cases. The analysis for the out-of-the-money case uses… read more here.
Keywords: options realized; short maturity; volatility; maturity ... See more keywords