Paper #968

Títol:

On the short-time behavior of the implied volatility for jump-diffusion models with stochastic volatility

Autors:

Elisa Alòs, Jorge A. León i Josep Vives

Data:

Juny 2006

Resum:

In this paper we use Malliavin calculus techniques to obtain an expression for the short-time behavior of the at-the-money implied volatility skew for a generalization of the Bates model, where the volatility does not need to be neither a difussion, nor a Markov process as the examples in section 7 show. This expression depends on the derivative of the volatility in the sense of Malliavin calculus.

Paraules clau:

Black-Scholes formula, derivative operator, Itô's formula for the Skorohod integral, jump-diffusion stochastic volatility model

Codis JEL:

G12, G13

Àrea de Recerca:

Estadística, Econometria i Mètodes Quantitatius

Publicat a:

Finance Stoch (2007) 11: 571- 589

Descarregar el paper en format PDF