On the short-maturity behaviour of the implied volatility skew for random strike options and applications to option pricing approximation

DOI10.1080/14697688.2015.1013499zbMath1465.91107OpenAlexW2063079516MaRDI QIDQ5001108

Jorge A. Leon, Elisa Alòs

Publication date: 16 July 2021

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2015.1013499

zbMATH Keywords

Malliavin calculusGirsanov's theoremspread optionsSkorohod integralderivative operator in Malliavin calculus senseKirk's formula

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic calculus of variations and the Malliavin calculus (60H07)

Related Items (2)

A note on the implied volatility of floating strike Asian options ⋮ Pricing Average and Spread Options Under Local-Stochastic Volatility Jump-Diffusion Models

Cites Work

• Martingale methods in financial modelling.
• On the short-time behavior of the implied volatility for jump-diffusion models with stochastic volatility
• The Malliavin Calculus and Related Topics
• Convergence of At-The-Money Implied Volatilities to the Spot Volatility
• Pricing and Hedging Spread Options
• Closed form spread option valuation
• Malliavin differentiability of the Heston volatility and applications to option pricing
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