Back to Search Start Over

The implied volatility of Forward-Start options: ATM short-time level, skew and curvature.

Authors :
Alòs, Elisa
Jacquier, Antoine
León, Jorge A.
Source :
Stochastics: An International Journal of Probability & Stochastic Processes; Jan2019, Vol. 91 Issue 1, p37-51, 15p
Publication Year :
2019

Abstract

Using Malliavin Calculus techniques, we derive closed-form expressions for the at-the-money behaviour of the forward implied volatility, its skew and its curvature, in general Markovian stochastic volatility models with continuous paths. [ABSTRACT FROM AUTHOR]

Details

Language :
English
ISSN :
17442508
Volume :
91
Issue :
1
Database :
Complementary Index
Journal :
Stochastics: An International Journal of Probability & Stochastic Processes
Publication Type :
Academic Journal
Accession number :
133159267
Full Text :
https://doi.org/10.1080/17442508.2018.1499105