{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,8,21]],"date-time":"2026-08-21T13:59:38Z","timestamp":1787320778981,"version":"build-2736575974"},"reference-count":10,"publisher":"Society for Industrial & Applied Mathematics (SIAM)","issue":"2","funder":[{"DOI":"10.13039\/100005191","name":"Craig H. Neilsen Foundation","doi-asserted-by":"publisher","id":[{"id":"10.13039\/100005191","id-type":"DOI","asserted-by":"publisher"}]},{"DOI":"10.13039\/501100003329","name":"Ministerio de Econom\u00eda y Competitividad","doi-asserted-by":"publisher","award":["MTM 2016-76420-P"],"award-info":[{"award-number":["MTM 2016-76420-P"]}],"id":[{"id":"10.13039\/501100003329","id-type":"DOI","asserted-by":"publisher"}]}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["SIAM J. Finan. Math."],"published-print":{"date-parts":[[2021,1]]},"abstract":"<jats:p>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 result 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 more accurate approximation for the volatility swap strike than the at-the-money implied volatility.<\/jats:p>","DOI":"10.1137\/20m134722x","type":"journal-article","created":{"date-parts":[[2021,6,8]],"date-time":"2021-06-08T15:36:27Z","timestamp":1623166587000},"page":"690-723","source":"Crossref","is-referenced-by-count":4,"title":["On the Difference Between the Volatility Swap Strike and the Zero Vanna Implied Volatility"],"prefix":"10.1137","volume":"12","author":[{"given":"Elisa","family":"Al\u00f2s","sequence":"first","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Frido","family":"Rolloos","sequence":"additional","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Kenichiro","family":"Shiraya","sequence":"additional","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"351","published-online":{"date-parts":[[2021,6,8]]},"reference":[{"key":"atypb1","doi-asserted-by":"publisher","DOI":"10.1007\/s00780-007-0049-1"},{"key":"atypb2","doi-asserted-by":"publisher","DOI":"10.1007\/s00780-019-00384-5"},{"key":"atypb3","doi-asserted-by":"publisher","DOI":"10.1080\/14697688.2015.1099717"},{"key":"atypb4","doi-asserted-by":"crossref","unstructured":"L. Bergomi and J. Guyon,\n                      The Smile in Stochastic Volatility Models\n                      , 2011,https:\/\/ssrn.com\/abstract=1967470.","DOI":"10.2139\/ssrn.1967470"},{"key":"atypb5","doi-asserted-by":"crossref","unstructured":"P. Carr and R. Lee,\n                      Robust replication of Volatility Derivatives\n                      , PRMIA Award for Best Paper in Derivatives, MFA 2008 Annual Meeting, 2008.","DOI":"10.2139\/ssrn.1108429"},{"key":"atypb6","doi-asserted-by":"publisher","DOI":"10.1111\/1467-9965.00057"},{"key":"atypb7","doi-asserted-by":"publisher","DOI":"10.1023\/A:1008634027843"},{"key":"atypb8","doi-asserted-by":"publisher","DOI":"10.1137\/18M1167565"},{"key":"atypb9","doi-asserted-by":"publisher","DOI":"10.1080\/14697680500362452"},{"key":"atypb10","doi-asserted-by":"crossref","unstructured":"F. Rolloos and M. Arslan,\n                      Taylor-made Volatility Swaps\n                      , Wilmott, London, 2017.","DOI":"10.1002\/wilm.10566"}],"container-title":["SIAM Journal on Financial Mathematics"],"original-title":[],"language":"en","link":[{"URL":"https:\/\/epubs.siam.org\/doi\/pdf\/10.1137\/20M134722X","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2026,8,21]],"date-time":"2026-08-21T12:59:20Z","timestamp":1787317160000},"score":1,"resource":{"primary":{"URL":"https:\/\/epubs.siam.org\/doi\/10.1137\/20M134722X"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2021,1]]},"references-count":10,"journal-issue":{"issue":"2","published-print":{"date-parts":[[2021,1]]}},"alternative-id":["10.1137\/20M134722X"],"URL":"https:\/\/doi.org\/10.1137\/20m134722x","relation":{},"ISSN":["1945-497X"],"issn-type":[{"value":"1945-497X","type":"electronic"}],"subject":[],"published":{"date-parts":[[2021,1]]}}}