Discrete variance swap in a rough volatility economy
研究了粗糙波动率环境下离散方差互换的定价问题，发现波动率的粗糙性对互换期限结构的凹性有显著影响，适合金融衍生品定价研究者参考。
Abstract The discrete variance swap is one of the most popular volatility derivatives traded on the over‐the‐counter market. This paper discusses its valuation in a rough volatility economy and the impact of roughness on the term structure of discrete variance swap prices. A semianalytic solution is obtained through stochastic convolution. Our numerical experiments show that the roughness of volatility has a significant impact on the concavity of the variance swap term structure.