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

Frido Rolloos

Papers from arXiv.org

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.

Date: 2022-02
New Economics Papers: this item is included in nep-rmg
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