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

DOI10.1137/20M134722XzbMath1471.91558arXiv1912.05383OpenAlexW3166518942MaRDI QIDQ4958389

Kenichiro Shiraya, Frido Rolloos, Elisa Alòs

Publication date: 8 September 2021

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1912.05383

zbMATH Keywords

Malliavin calculusvolatility swapsfractional volatility modelszero vanna implied volatility

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic calculus of variations and the Malliavin calculus (60H07)

Cites Work

• Stochastic analysis of the fractional Brownian motion
• Estimating the Hurst parameter from short term volatility swaps: a Malliavin calculus approach
• On the short-time behavior of the implied volatility for jump-diffusion models with stochastic volatility
• Long memory in continuous-time stochastic volatility models
• Valuation of volatility derivatives as an inverse problem
• Short-Term At-the-Money Asymptotics under Stochastic Volatility Models
• Pricing under rough volatility

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