Computing the SSR
给出了偏斜-粘性-比率（SSR）的一个无模型表达式，并推导出在扩散设定下其短期极限为H+3/2，其中H是波动率过程的赫斯特指数，对期权交易者尤其是做市商有重要参考价值。
The skew-stickiness-ratio (SSR), examined in detail by Bergomi in his book, is critically important to options traders, especially market makers. We present a model-free expression for the SSR in terms of the characteristic function. In the diffusion setting, it is well-known that the short-term limit of the SSR is 2; a corollary of our results is that this limit is H+3/2 where H is the Hurst exponent of the volatility process. The general formula for the SSR simplifies and becomes particularly tractable in the affine forward variance case. In particular, we explain the qualitative behavior of the SSR with respect to the shape of the forward variance curve.