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SIAM Journal on Financial Mathematics
Article
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arXiv.org e-Print Archive
Preprint . 2019
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SIAM Journal on Financial Mathematics
Article . 2021 . Peer-reviewed
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https://dx.doi.org/10.48550/ar...
Article . 2019
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SIAM Journal on Financial Mathematics
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On the Difference Between the Volatility Swap Strike and the Zero Vanna Implied Volatility

descriptionPublicationkeyboard_double_arrow_right Article , Preprint 01 Jan 2021Embargo end date: 01 Jan 2019 English Publisher:Society for Industrial & Applied Mathematics (SIAM)Journal:SIAM Journal on Financial Mathematics, volume 12, pages 690-723 (eissn: 1945-497X, Copyright policy )
Authors: Kenichiro Shiraya; Frido Rolloos; Elisa Alòs;

doi: 10.1137/20m134722x , 10.48550/arxiv.1912.05383

arXiv: http://arxiv.org/abs/1912.05383

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

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 estimate 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 better approximation for the volatility swap strike than the ATMI.

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Keywords

FOS: Economics and business, Quantitative Finance - Mathematical Finance, Mathematical Finance (q-fin.MF), 91G99

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citations
This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Citations provided by BIP!
popularity
This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.
BIP!Popularity provided by BIP!
influence
This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Influence provided by BIP!
impulse
This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.
BIP!Impulse provided by BIP!
3
Average
Average
Average
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bronze
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