Nonparametric Pricing and Hedging of Volatility Swaps in Stochastic Volatility Models

In this paper the zero vanna implied volatility approximation for the price of freshly minted volatility swaps is generalized to seasoned volatility swaps. We also derive how volatility swaps can be hedged using a strip of vanilla options with Gaussian weights. For the family of stochastic volatility models our pricing and hedging results are model-independent and can be implemented at little computational cost

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Year of publication:	[2023]
Authors:	Rolloos, Frido
Publisher:	[S.l.] : SSRN
Subject:	Volatilität \| Volatility \| Hedging \| Stochastischer Prozess \| Stochastic process \| Nichtparametrisches Verfahren \| Nonparametric statistics \| Optionspreistheorie \| Option pricing theory \| Swap \| Derivat \| Derivative

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