Sticky varswaps

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


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

Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact or view our subscription options here:

You are currently unable to copy this content. Please contact to find out more.

Sorry, our subscription options are not loading right now

Please try again later. Get in touch with our customer services team if this issue persists.

New to View our subscription options

You need to sign in to use this feature. If you don’t have a account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here