The implied volatility of forward starting options: ATM short-time level, skew and curvature
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- dc.contributor.author Alòs, Elisaca
- dc.contributor.author Jacquier, Antoineca
- dc.contributor.author León, Jorge A.ca
- dc.contributor.other Universitat Pompeu Fabra. Departament d'Economia i Empresa
- dc.date.accessioned 2017-07-26T10:50:01Z
- dc.date.available 2017-07-26T10:50:01Z
- dc.date.issued 2017-05-02
- dc.date.modified 2017-07-23T02:18:16Z
- dc.description.abstract For stochastic volatility models, we study the short-time behaviour of the at-the-money implied volatility level, skew and curvature for forward-starting options. Our analysis is based on Malliavin Calculus techniques.
- dc.format.mimetype application/pdfca
- dc.identifier https://econ-papers.upf.edu/ca/paper.php?id=1568
- dc.identifier.citation
- dc.identifier.uri http://hdl.handle.net/10230/32633
- dc.language.iso eng
- dc.relation.ispartofseries Economics and Business Working Papers Series; 1568
- dc.rights L'accés als continguts d'aquest document queda condicionat a l'acceptació de les condicions d'ús establertes per la següent llicència Creative Commons
- dc.rights.accessRights info:eu-repo/semantics/openAccess
- dc.rights.uri http://creativecommons.org/licenses/by-nc-nd/3.0/es/
- dc.subject.keyword forward starting options
- dc.subject.keyword implied volatility
- dc.subject.keyword malliavin calculus
- dc.subject.keyword stochastic volatility models
- dc.subject.keyword Statistics, Econometrics and Quantitative Methods
- dc.title The implied volatility of forward starting options: ATM short-time level, skew and curvatureca
- dc.title.alternative
- dc.type info:eu-repo/semantics/workingPaper