On the second derivative of the at-the-money implied volatility in stochastic volatility models

Authors :: Alòs, Elisa
León, Jorge A.
Universitat Pompeu Fabra. Departament d'Economia i Empresa
Source :: Recercat. Dipósit de la Recerca de Catalunya, instname, Repositorio Digital de la UPF, Universitat Pompeu Fabra

Subjects :: Statistics, Econometrics and Quantitative Methods
anticipating itô's formula
hull and white formula
malliavin calculus
stochastic volatility models

Database :: OpenAIRE
Journal :: Recercat. Dipósit de la Recerca de Catalunya, instname, Repositorio Digital de la UPF, Universitat Pompeu Fabra
Accession number :: edsair.dedup.wf.001..7022fad0d1444b21525f5dc8849cd9db

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