On the curvature of the smile in stochastic volatility models
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- dc.contributor.author Alòs, Elisa
- dc.contributor.author León, Jorge A.
- dc.date.accessioned 2024-03-13T07:51:50Z
- dc.date.available 2024-03-13T07:51:50Z
- dc.date.issued 2017
- dc.description.abstract In this paper we compute analytically the at-the-money second derivative of the implied volatility curve as a function of the strike price, for correlated stochastic volatility models. We also obtain an expression for the short-time limit of this second derivative in terms of the first and second Malliavin derivatives of the volatility process and the correlation parameter. Our analysis does not need the volatility to be Markovian and can be applied to the case of fractional volatility models, both with H < 1/2 and H > 1/2
- dc.description.sponsorship The first author was supported by grants ECO2014-59885-P and MTM2016-76420-P (MINECO/FEDER, UE). The second author was supported by CONACyT grant 220303.
- dc.format.mimetype application/pdf
- dc.identifier.citation Alòs E, León JA. On the curvature of the smile in stochastic volatility models. SIAM Journal on Financial Mathematics. 2017;8(1):373-99. DOI: 10.1137/16M1086315
- dc.identifier.doi http://dx.oi.org/10.1137/16M1086315
- dc.identifier.issn 1945-497X
- dc.identifier.uri http://hdl.handle.net/10230/59397
- dc.language.iso eng
- dc.publisher Society for Industrial and Applied Mathematics
- dc.relation.ispartof SIAM Journal on Financial Mathematics. 2017;8(1):373-99.
- dc.relation.projectID info:eu-repo/grantAgreement/ES/1PE/ECO2014-59885-P
- dc.relation.projectID info:eu-repo/grantAgreement/ES/1PE/MTM2016-76420-P
- dc.rights.accessRights info:eu-repo/semantics/openAccess
- dc.subject.keyword anticipating Ito’s formula
- dc.subject.keyword Malliavin calculus
- dc.subject.keyword Hull and White formula
- dc.subject.keyword stochastic volatility models
- dc.subject.keyword fractional Brownian motion
- dc.title On the curvature of the smile in stochastic volatility models
- dc.type info:eu-repo/semantics/article
- dc.type.version info:eu-repo/semantics/publishedVersion