On the Skew Stickiness Ratio

Masaaki Fukasawa

Papers from arXiv.org

Abstract: The skew stickiness ratio is a statistic that captures the joint dynamics of an asset price and its volatility. We derive a representation formula for this quantity using the It\^o-Wentzell and Clark-Ocone formulae, and we apply it to analyze its asymptotics under Bergomi-type stochastic volatility models.

Date: 2026-02
New Economics Papers: this item is included in nep-rmg
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