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awc
Topic Author
Posts: 6
Joined: April 18th, 2017, 3:13 pm

Implied Skewness

July 31st, 2017, 7:54 pm

Hi

I'm trying to understand more about Implied Skewness vs Skewness and in a paper I saw the equation for it as 2.3409 * RR(10 delta) / ATM Implied Vol. I've worked through a number of derivations and I don't get where that came from and I've seen it elsewhere as well.

Incidentally what would be a good paper to read on this?

Thanks!
 
frolloos
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Joined: September 27th, 2007, 5:29 pm
Location: Netherlands

Re: Implied Skewness

July 31st, 2017, 8:14 pm

Which paper did you come across the equation?
 
awc
Topic Author
Posts: 6
Joined: April 18th, 2017, 3:13 pm

Re: Implied Skewness

August 1st, 2017, 7:50 am

Footnote 10 on bottom of page 20 of https://mpra.ub.uni-muenchen.de/53745/1 ... _53745.pdf but I'm sure I've seen it in other papers and documents a while back.
 
frolloos
Posts: 752
Joined: September 27th, 2007, 5:29 pm
Location: Netherlands

Re: Implied Skewness

August 2nd, 2017, 2:04 pm

Looked at your link. Can't really say much about it. Would suggest reading through Schouten's paper on moment swaps and/or Wystup's articles on Fx vol surfaces.