Sticky varswaps

Bergomi's skew-stickiness ratio is extended to the setting of variance swaps

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Jingyi Huang and Olaf Torné extend the definition of the skew-stickiness ratio (SSR) to handle covariance between the spot and the theoretical fair strike of a variance swap, and derive analytical approximations of this quantity in the local volatility and Heston models, analogous to known formulas for the classical at-the-money forward SSR

The skew-stickiness ratio (SSR), introduced by Bergomi (2015), is the industry standard metric for describing the joint

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