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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