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...

A short review of the pricing of vanilla call and put options in stochastic volatility models with jump to default is given. Expressions are obtained that relate vanilla call and put options prices under pure stochastic volatility diffusion models to prices under stochastic volatility with jump...

For nonzero but small values of correlation a method is given to de-correlate the instantaneous volatility from the price process in stochastic volatility models. Once the skew has been symmetrized in this manner, it is possible to imply moments of realized volatility from the index option...

The main assumption of the vanna-volga method is the existence of a flat but stochastic implied volatility for the pricing of vanilla options. Even though `flat but stochastic' appears to be self-contradictory, it is to an extent justified on empirical grounds. In this short note we argue that...

The forward start dual volatility swap is introduced. It can be regarded as the analog for volatility of what the entropy contract is for variance. Under the risk neutral measure it is shown that the difference between the forward start volatility swap and its dual is approximately the...

We describe the steps required to approximately price volatility derivatives by making use of only three near the money vanilla index options per maturity. The only assumption we make is that the index process is a diffusion with a volatility process that does not depend on the index level. No...