Slope of skew curve
Posted: October 22nd, 2010, 1:06 pm
The variance swap entry on WilmottWiki talks about the "slope of the skew curve" under the Rule of Thumb published by Demeterfi?Derman?Kamal?Zou (1999). What is a skew curve?http://www.wilmottwiki.com/wiki/index.php/Variance_swap