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.

中文翻译：

---

多因素粗糙波动率模型中的波动性衍生物的渐近性

我们研究了“实现的方差”期权的小时间隐含波动率微笑，并研究了多因素模型中相关性对微笑线性的影响。我们还针对已实现方差密度开发了一种近似方案，可以对波动率掉期进行快速而准确的定价。此外，我们在大打击制度中建立了一般类别的VIX期权的小噪声渐近行为。