Publications

BibTex format

@article{Alos:2018:10.1080/17442508.2018.1499105,
author = {Alos, E and Jacquier, A and Leon, J},
doi = {10.1080/17442508.2018.1499105},
journal = {Stochastics: An International Journal of Probability and Stochastic Processes},
title = {The implied volatility of Forward-Start options: ATM short-time level,  skew and curvature},
url = {http://dx.doi.org/10.1080/17442508.2018.1499105},
year = {2018}
}

Download

RIS format (EndNote, RefMan)

TY  - JOUR
AB  - Using Malliavin Calculus techniques, we derive closed-form expressions forthe at-the-money behaviour of the forward implied volatility, its skew and itscurvature, in general Markovian stochastic volatility models with continuouspaths.
AU  - Alos,E
AU  - Jacquier,A
AU  - Leon,J
DO  - 10.1080/17442508.2018.1499105
PY  - 2018///
SN  - 1744-2508
TI  - The implied volatility of Forward-Start options: ATM short-time level,  skew and curvature
T2  - Stochastics: An International Journal of Probability and Stochastic Processes
UR  - http://dx.doi.org/10.1080/17442508.2018.1499105
UR  - http://arxiv.org/abs/1710.11232v1
ER  -

Download

ProfessorJackJacquier

Contact

Location

Summary

Citation

BibTex format

RIS format (EndNote, RefMan)