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 (Revisió: Juliol 2016)

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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