In this paper we give a model-free approximation for the price of forward starting volatility swaps. Moreover, we show that a self-financing and model-independent approximate hedge is achieved by dynamically trading zero vanna forward starting straddles with a skew adjusted notional. To the best...

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...