Paper #968

Título:

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

Autores:

Elisa Alòs, Jorge A. León y Josep Vives

Data:

Junio 2006

Resumen:

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.

Palabras clave:

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

Códigos JEL:

G12, G13

Área de investigación:

Estadística, Econometría y Métodos Cuantitativos

Publicado en:

Finance Stoch (2007) 11: 571- 589

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