Elisa Alòs, Frido Rolloos, Kenichiro Shiraya. On the Difference Between the Volatility Swap Strike and the Zero Vanna Implied Volatility. SIAM J. Financial Math., 12(2):690-723, 2021. [doi]
@article{AlosRS21,
title = {On the Difference Between the Volatility Swap Strike and the Zero Vanna Implied Volatility},
author = {Elisa Alòs and Frido Rolloos and Kenichiro Shiraya},
year = {2021},
doi = {10.1137/20M134722X},
url = {https://doi.org/10.1137/20M134722X},
researchr = {https://researchr.org/publication/AlosRS21},
cites = {0},
citedby = {0},
journal = {SIAM J. Financial Math.},
volume = {12},
number = {2},
pages = {690-723},
}