The ATM implied volatility slope, the (dual) volatility swap, and the (dual) zero vanna implied volatility
Pricing of Securities
2022-02-16 v1 Mathematical Finance
Abstract
Exact relationships between the short time-to-maturity ATM implied volatility slope, the (dual) volatility swap, and the (dual) zero vanna implied volatility are given.
Keywords
Cite
@article{arxiv.2202.07542,
title = {The ATM implied volatility slope, the (dual) volatility swap, and the (dual) zero vanna implied volatility},
author = {Frido Rolloos},
journal= {arXiv preprint arXiv:2202.07542},
year = {2022}
}