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

2022/02/15 by Frido Rolloos, Rolloos, Frido
Economics, Econometrics and Finance · Social Sciences · #FOS: Economics and business #Financial Risk and Volatility Modeling #Insurance, Mortality, Demography, Risk Management #Mathematical Finance (q-fin.MF) #Pricing of Securities (q-fin.PR) #Stochastic processes and financial applications

paper · pdf · doi:10.48550/arxiv.2202.07542

openalex publication_date 2022/02/15 · openalex created_date 2022/04/03 · openalex updated_date 2026/07/28

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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