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

DOI10.1080/17442508.2018.1499105zbMath1494.91149arXiv1710.11232OpenAlexW2963530916WikidataQ129449081 ScholiaQ129449081MaRDI QIDQ5086415

Antoine Jacquier, Elisa Alòs, Jorge A. Leon

Publication date: 5 July 2022

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1710.11232

zbMATH Keywords

Malliavin calculusimplied volatilitystochastic volatility modelsforward-start options

Mathematics Subject Classification ID

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

Cites Work

• Unnamed Item
• Affine processes and applications in finance
• On the short-time behavior of the implied volatility for jump-diffusion models with stochastic volatility
• On the pricing of forward starting options in Heston's model on stochastic volatility
• The Small-Maturity Heston Forward Smile
• The Malliavin Calculus and Related Topics
• Convergence of At-The-Money Implied Volatilities to the Spot Volatility
• Asymptotics of Forward Implied Volatility
• Stock Price Distributions with Stochastic Volatility: An Analytic Approach
• Large-maturity regimes of the Heston forward smile

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