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The implied volatility of forward starting options: ATM short-time level, skew and curvature

Elisa Alòs (elisa.alos@upf.edu), Antoine Jacquier (ajacquie@imperial.ac.uk) and Jorge A. León
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Elisa Alòs: https://www.upf.edu/web/econ/faculty/-/asset_publisher/6aWmmXf28uXT/persona/id/3418685

Economics Working Papers from Department of Economics and Business, Universitat Pompeu Fabra

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: 2017-05
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) Downloads
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