The Implied Volatility of Forward-Start Options : ATM Short-Time Level, Skew and Curvature

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

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Year of publication:	2017
Authors:	Alos, Elisa
Other Persons:	Jacquier, Antoine (Jack) (contributor) ; Leon, Jorge A. (contributor)
Publisher:	[2017]: [S.l.] : SSRN
Subject:	Volatilität \| Volatility \| Optionspreistheorie \| Option pricing theory \| Optionsgeschäft \| Option trading \| Black-Scholes-Modell \| Black-Scholes model

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Extent:	1 Online-Ressource (18 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments November 1, 2017 erstellt
Other identifiers:	10.2139/ssrn.3063577 [DOI]
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012944411