{"title":"短期ATM倾斜和波动性掉期","authors":"Frido Rolloos","doi":"10.2139/ssrn.3917510","DOIUrl":null,"url":null,"abstract":"The short-time ATM skew can be interpreted as the ratio of the difference between the volatility swap and the dual volatility swap to the ATM implied variance.","PeriodicalId":378972,"journal":{"name":"ERN: Swaps & Forwards (Topic)","volume":"47 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2021-09-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"The Short-Time ATM Skew and Volatility Swaps\",\"authors\":\"Frido Rolloos\",\"doi\":\"10.2139/ssrn.3917510\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"The short-time ATM skew can be interpreted as the ratio of the difference between the volatility swap and the dual volatility swap to the ATM implied variance.\",\"PeriodicalId\":378972,\"journal\":{\"name\":\"ERN: Swaps & Forwards (Topic)\",\"volume\":\"47 1\",\"pages\":\"0\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2021-09-04\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"ERN: Swaps & Forwards (Topic)\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.2139/ssrn.3917510\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"ERN: Swaps & Forwards (Topic)","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.2139/ssrn.3917510","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
The short-time ATM skew can be interpreted as the ratio of the difference between the volatility swap and the dual volatility swap to the ATM implied variance.
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