Smiling for the Delayed Volatility Swap

descriptionPublicationkeyboard_double_arrow_right Article , Other literature type 01 Jan 2011 English Publisher:Elsevier BVJournal:SSRN Electronic Journal (eissn: 1556-5068,

Authors: Anatoliy V. Swishchuk; Nelson Vadori;

doi: 10.2139/ssrn.2019135

Smiling for the Delayed Volatility Swap

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Abstract

Using change of time method, we derive a closed-form formula for the volatility swap in an adjusted version of the Heston model with stochastic volatility with delay. The numerical result is presented for underlying EURUSD on September 30th 2011. The novelty of the paper is two-fold: application of change of time method to the delayed Heston model and calculation of the volatility swap for this model.

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University of Calgary
Canada

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