ATM隐含波动率斜率、(对偶)波动率互换与(对偶)零vanna隐含波动率
证券定价
2022-02-16 v1 数理金融
摘要
给出了短到期时间ATM隐含波动率斜率、(对偶)波动率互换与(对偶)零vanna隐含波动率之间的精确关系。
引用
@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}
}