Asymptotics for volatility derivatives in multi-factor rough volatility models

Abstract

We study the small-time implied volatility smile for Realised Variance options, and investigate the effect of correlation in multi-factor models on the linearity of the smile. We also develop an approximation scheme for the Realised Variance density, allowing fast and accurate pricing of Volatility Swaps. Additionally, we establish small-noise asymptotic behaviour of a general class of VIX options in the large strike regime.