
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.
| 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). | 8 | |
| 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. | Top 10% | |
| influence This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically). | Top 10% | |
| impulse This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network. | Average |
