León, Jorge A.; Alòs, Elisa; Vives, Josep. On the short-time behavior of the implied volatility for jump-diffusion models with stochastic volatility. 2006
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Title:
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On the short-time behavior of the implied volatility for jump-diffusion models with stochastic volatility |
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Author:
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León, Jorge A.; Alòs, Elisa; Vives, Josep
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Other authors:
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Universitat Pompeu Fabra. Departament d'Economia i Empresa
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Abstract:
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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 section 7 show. This expression depends on the derivative of the volatility in the sense of Malliavin calculus.
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Document type:
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Working paper
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Date:
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2006 |
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Rights:
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