Paper #1568

Título:

The implied volatility of forward starting options: ATM short-time level, skew and curvature

Autores:

Elisa Alòs, Antoine Jacquier y Jorge A. León

Data:

Mayo 2017

Resumen:

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.

Palabras clave:

Forward starting options, implied volatility, Malliavin calculus, stochastic volatility models

Códigos JEL:

C02

Área de investigación:

Estadística, Econometría y Métodos Cuantitativos

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