Alòs, ElisaJacquier, AntoineLeón, Jorge A.Universitat Pompeu Fabra. Departament d'Economia i Empresa2017-07-262017-07-262017-05-02http://hdl.handle.net/10230/32633For 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.application/pdfengL'accés als continguts d'aquest document queda condicionat a l'acceptació de les condicions d'ús establertes per la següent llicència Creative CommonsThe implied volatility of forward starting options: ATM short-time level, skew and curvature<resourceType xmlns="http://datacite.org/schema/kernel-3" resourceTypeGeneral="Other">info:eu-repo/semantics/workingPaper</resourceType><subject xmlns="http://datacite.org/schema/kernel-3" subjectScheme="keyword">forward starting options</subject><subject xmlns="http://datacite.org/schema/kernel-3" subjectScheme="keyword">implied volatility</subject><subject xmlns="http://datacite.org/schema/kernel-3" subjectScheme="keyword">malliavin calculus</subject><subject xmlns="http://datacite.org/schema/kernel-3" subjectScheme="keyword">stochastic volatility models</subject><subject xmlns="http://datacite.org/schema/kernel-3" subjectScheme="keyword">Statistics, Econometrics and Quantitative Methods</subject><rights xmlns="http://datacite.org/schema/kernel-3">info:eu-repo/semantics/openAccess</rights>