The ATM implied volatility slope, the (dual) volatility swap, and the (dual) zero vanna implied volatility

2022-02-15Unverified0· sign in to hype

Frido Rolloos

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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.

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The ATM implied volatility slope, the (dual) volatility swap, and the (dual) zero vanna implied volatility

Abstract

Tasks

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