On the Difference Between the Volatility Swap Strike and the Zero Vanna Implied Volatility-Reference-Cited by-同舟云学术

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On the Difference Between the Volatility Swap Strike and the Zero Vanna Implied Volatility

Published:2021-01 Issue:2 Volume:12 Page:690-723
ISSN:1945-497X
Container-title:SIAM Journal on Financial Mathematics
language:en
Short-container-title:SIAM J. Finan. Math.

Author:

Alòs Elisa,Rolloos Frido,Shiraya Kenichiro

Funder

Craig H. Neilsen Foundation

Ministerio de Economía y Competitividad

Publisher

Society for Industrial & Applied Mathematics (SIAM)

Subject

Applied Mathematics,Finance,Numerical Analysis

Link

https://epubs.siam.org/doi/pdf/10.1137/20M134722X

Reference7 articles.

1. On the short-time behavior of the implied volatility for jump-diffusion models with stochastic volatility

2. Estimating the Hurst parameter from short term volatility swaps: a Malliavin calculus approach

3. Pricing under rough volatility

4. Long memory in continuous-time stochastic volatility models

Cited by 3 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. A model‐free approximation for barrier options in a general stochastic volatility framework;Journal of Futures Markets;2024-03-11

2. A Lower Bound for the Volatility Swap in the Lognormal SABR Model;Axioms;2023-07-29

3. A Note on Variance Swap Greeks;SSRN Electronic Journal;2023

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