On the Difference Between the Volatility Swap Strike and the Zero Vanna Implied Volatility (Q4958389)
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scientific article; zbMATH DE number 7392176
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | On the Difference Between the Volatility Swap Strike and the Zero Vanna Implied Volatility |
scientific article; zbMATH DE number 7392176 |
Statements
On the Difference Between the Volatility Swap Strike and the Zero Vanna Implied Volatility (English)
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8 September 2021
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Malliavin calculus
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fractional volatility models
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volatility swaps
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zero vanna implied volatility
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