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"On the Difference Between the Volatility Swap Strike and the Zero Vanna ..."
Elisa Alòs, Frido Rolloos, Kenichiro Shiraya (2021)
- 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)
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