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

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  • Frido Rolloos

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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  • Frido Rolloos, 2022. "The ATM implied volatility slope, the (dual) volatility swap, and the (dual) zero vanna implied volatility," Papers 2202.07542, arXiv.org.
    • Handle: RePEc:arx:papers:2202.07542
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    1. Alexey Medvedev & Olivier Scaillet, 2007. "Approximation and Calibration of Short-Term Implied Volatilities Under Jump-Diffusion Stochastic Volatility," The Review of Financial Studies, Society for Financial Studies, vol. 20(2), pages 427-459.
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