The implied volatility of Forward-Start options: ATM short-time level, skew and curvature

Elisa Alos, Antoine Jacquier () and Jorge Leon

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Abstract: Using Malliavin Calculus techniques, we derive closed-form expressions for the at-the-money behaviour of the forward implied volatility, its skew and its curvature, in general Markovian stochastic volatility models with continuous paths.

Date: 2017-10
New Economics Papers: this item is included in nep-rmg
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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1710.11232

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