The Implied Volatility of Forward Starting Options: ATM Short-Time Level, Skew and Curvature

Antoine Jacquier (), Jorge A. León and Elisa Alòs

No 988, Working Papers from Barcelona School of Economics

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

Keywords: Forward starting options; implied volatility; Malliavin calculus; stochastic volatility models (search for similar items in EconPapers)
JEL-codes: C02 (search for similar items in EconPapers)
Date: 2017-09
New Economics Papers: this item is included in nep-ore and nep-rmg
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Working Paper: The implied volatility of forward starting options: ATM short-time level, skew and curvature (2017)
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