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

2017/10/30 by Elisa Alòs, Alos, Elisa, Antoine Jacquier +3
Economics, Econometrics and Finance · #Stochastic processes and financial applications #Economic theories and models #Complex Systems and Time Series Analysis

paper · pdf · doi:10.48550/arxiv.1710.11232

Abstract

Using Malliavin Calculus techniques, we derive closed-form expressions for\nthe at-the-money behaviour of the forward implied volatility, its skew and its\ncurvature, in general Markovian stochastic volatility models with continuous\npaths.\n

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