Estimating the Hurst parameter from short term volatility swaps: a Malliavin calculus approach

  • Authors
  • Alòs, E.; Shiraya, K.
  • UPF authors
  • ALOS ALCALDE, ELISA;
  • Type
  • Articles de recerca
  • Journal títle
  • Finance and Stochastics
  • Publication year
  • 2019
  • Volume
  • 23
  • Number
  • 2
  • Pages
  • 423-447
  • ISSN
  • 0949-2984
  • Publication State
  • Publicat
  • Abstract
  • gt; 1 / 2 , we develop a model-free approximation formula for the volatility swap in terms of the ATMI and its skew.
  • Complete citation
  • Alòs, E.; Shiraya, K.. Estimating the Hurst parameter from short term volatility swaps: a Malliavin calculus approach. Finance and Stochastics 2019; 23(2): 423-447.
Bibliometric indicators
  • 6 times cited Scopus
  • 6 times cited WOS
  • Índex Scimago de 2.023(2019)