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Paper #1458

Títol:
On the second derivative of the at-the-money implied volatility in stochastic volatility models
Autors:
Elisa Alòs i Jorge A. León
Data:
Novembre 2014
Resum:
In this paper we compute analytically the at-the-money second derivative of the implied volatility curve as a function of the strike price, for correlated stochastic volatility models. We obtain an expression for the short-time limit of this second derivative in terms of the first and second Malliavin derivatives of the volatility process and the correlation parameter.
Paraules clau:
Anticipating Itô's formula, Malliavin calculus, Hull and White formula, stochastic volatility models
Codis JEL:
AMS subject classification: 91G99
Àrea de Recerca:
Estadística, Econometria i Mètodes Quantitatius

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