Author

Jun Maeda

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Preprint Sep 2026

Basket implied volatility skew and stickiness

We study the short-maturity implied volatility and the skew stickiness ratio for baskets of assets with continuous, possibly rough, stochastic volatility. The fluctuation of the instantaneous basket variance has two sources: fluctuations of the constituent variances and fluctuations of the basket weights. We derive a n...

Masaaki Fukasawa, Jun Maeda, Tatsuya Ogiwara · 0 citations

Preprint Sep 2026

Optimal entry and exit for variance swaps: closed-form rules for the perpetual contract

Variance swaps are a convenient instrument for trading vega and convexity, and a listed contract now trades on Cboe. We ask when a trader should put such a position on and when she should take it off, and for a perpetual, continuously settled contract we answer both in closed form: each threshold is the unique root of...

Jun Maeda · 0 citations