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image/svg+xml Jakob Voss, based on art designer at PLoS, modified by Wikipedia users Nina and Beao Closed Access logo, derived from PLoS Open Access logo. This version with transparent background. http://commons.wikimedia.org/wiki/File:Closed_Access_logo_transparent.svg Jakob Voss, based on art designer at PLoS, modified by Wikipedia users Nina and Beao Wilmottarrow_drop_down
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Article . 2017 . Peer-reviewed
License: Wiley Online Library User Agreement
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Article . 2015 . Peer-reviewed
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Taylor-Made Volatility Swaps

Authors: Frido Rolloos; Melih Arslan;

Taylor-Made Volatility Swaps

Abstract

Using little else than the mixing formula and Taylor expansions we show that the volatility swap strike is approximately the implied volatility corresponding to the strike where the vanna and vomma of a vanilla option is zero. As this result does not require any heavy numerical computations, and is valid for a large class of stochastic volatility models, it can be used for fast and model-free indicative pricing of volatility swaps.

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selected citations
These citations are derived from selected sources.
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!
8
Top 10%
Top 10%
Average
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