On the difference between the volatility swap strike and the zero vanna implied volatility

  • Authors
  • Alos E, Rolloos F, Shiraya K.
  • UPF authors
  • ALOS ALCALDE, ELISA;
  • Type
  • Articles de recerca
  • Journal títle
  • SIAM Journal on Financial Mathematics
  • Publication year
  • 2021
  • Volume
  • 12
  • Number
  • 2
  • Pages
  • 690-723
  • ISSN
  • 1945-497X
  • Publication State
  • Publicat
  • Abstract
  • In this paper, Malliavin calculus is applied to arrive at exact formulas for the difference between the volatility swap strike and the zero vanna implied volatility for volatilities driven by fractional noise. To the best of our knowledge, our result is the first to derive the rigorous relationship between the zero vanna implied volatility and the volatility swap strike. In particular, we will see that the zero vanna implied volatility is a more accurate approximation for the volatility swap strike than the at-the-money implied volatility.
  • Complete citation
  • Alos E, Rolloos F, Shiraya K.. On the difference between the volatility swap strike and the zero vanna implied volatility. SIAM Journal on Financial Mathematics 2021; 12(2): 690-723.
Bibliometric indicators
  • 0 times cited Scopus
  • 0 times cited WOS
  • Índex Scimago de 1.251 (2020)