Paper #1568
- Title:
- The implied volatility of forward starting options: ATM short-time level, skew and curvature
- Authors:
- Elisa Alòs, Antoine Jacquier and Jorge A. León
- Date:
- May 2017
- Abstract:
- 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.
- Keywords:
- Forward starting options, implied volatility, Malliavin calculus, stochastic volatility models
- JEL codes:
- C02
- Area of Research:
- Statistics, Econometrics and Quantitative Methods
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