Forward Start Volatility Swaps in Rough Volatility Models

Abstract This paper shows the relationship between the forward start volatility swap price and the forward start zero vanna implied volatility of forward start options in rough volatility models. It is shown that in the short time-to-maturity limit the approximation error in the leading term of the correlated case with $$H\in (0,\frac{1}{2})$$ <mml:math xmlns:mml="http://www.w3.org/1998/Math/MathML"> <mml:mrow> <mml:mi>H</mml:mi> <mml:mo>∈</mml:mo> <mml:mo>(</mml:mo> <mml:mn>0</mml:mn> <mml:mo>,</mml:mo> <mml:mfrac> <mml:mn>1</mml:mn> <mml:mn>2</mml:mn> </mml:mfrac> <mml:mo>)</mml:mo> </mml:mrow> </mml:math> does not depend on the time to forward start date, but only on the difference between the maturity date and forward start date and on the Hurst parameter H .