Alòs, Elisa; León, Jorge A.; Vives, Josep - Department of Economics and Business, Universitat … - 2006
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...