The implied volatility of Forward-Start options: ATM short-time level, skew and curvature

  • Authors
  • Alòs, E.; Jacquier, A.; León, J.A.
  • UPF authors
  • ALOS ALCALDE, ELISA;
  • Type
  • Articles de recerca
  • Journal títle
  • Stochastics
  • Publication year
  • 2019
  • Volume
  • 91
  • Number
  • 1
  • Pages
  • 37-51
  • ISSN
  • 0090-9491
  • Publication State
  • Publicat
  • Abstract
  • Using Malliavin Calculus techniques, we derive closed-form expressions for the at-the-money behaviour of the forward implied volatility, its skew and its curvature, in general Markovian stochastic volatility models with continuous paths.
  • Complete citation
  • Alòs, E.; Jacquier, A.; León, J.A.. The implied volatility of Forward-Start options: ATM short-time level, skew and curvature. Stochastics 2019; 91(1): 37-51.
Bibliometric indicators
  • 1 times cited Scopus
  • 1 times cited WOS
  • Índex Scimago de 0.689 (2014)