On the difference between the volatility swap strike and the zero vanna implied volatility
In this paper, Malliavin calculus is applied to arrive at exact formulas for the difference between the volatility swap strike and the zero vanna implied volatility for volatilities driven by fractional noise. To the best of our knowledge, our estimate is the first to derive the rigorous relationshi...
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| Sprache: | eng |
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| Zusammenfassung: | In this paper, Malliavin calculus is applied to arrive at exact formulas for
the difference between the volatility swap strike and the zero vanna implied
volatility for volatilities driven by fractional noise. To the best of our
knowledge, our estimate is the first to derive the rigorous relationship
between the zero vanna implied volatility and the volatility swap strike. In
particular, we will see that the zero vanna implied volatility is a better
approximation for the volatility swap strike than the ATMI. |
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| DOI: | 10.48550/arxiv.1912.05383 |