Paper #1568
- Títol:
- The implied volatility of forward starting options: ATM short-time level, skew and curvature
- Autors:
- Elisa Alòs, Antoine Jacquier i Jorge A. León
- Data:
- Maig 2017
- Resum:
- For stochastic volatility models, we study the short-time behaviour of the at-the-money implied volatility level, skew and curvature for forward-starting options. Our analysis is based on Malliavin Calculus techniques.
- Paraules clau:
- Forward starting options, implied volatility, Malliavin calculus, stochastic volatility models
- Codis JEL:
- C02
- Àrea de Recerca:
- Estadística, Econometria i Mètodes Quantitatius
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