On the Difference Between the Volatility Swap Strike and the Zero Vanna Implied Volatility

  title={On the Difference Between the Volatility Swap Strike and the Zero Vanna Implied Volatility},
  author={Elisa Al{\`o}s and Frido Rolloos and Kenichiro Shiraya},
  journal={SIAM J. Financial Math.},
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 rst to show 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 has a higher rate of convergence than the at-the-money (ATM… 
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