On the Curvature of the Smile in Stochastic Volatility Models

DOI10.1137/16M1086315zbMath1371.91137OpenAlexW2731785653MaRDI QIDQ5280242

Elisa Alòs, Jorge A. Leon

Publication date: 20 July 2017

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/16m1086315

zbMATH Keywords

fractional Brownian motionMalliavin calculusstochastic volatility modelsanticipating Itô's formulaHull and White formula

Mathematics Subject Classification ID

Stochastic models in economics (91B70) Applications of stochastic analysis (to PDEs, etc.) (60H30) Financial applications of other theories (91G80) Stochastic calculus of variations and the Malliavin calculus (60H07)

Related Items (5)

Short-dated smile under rough volatility: asymptotics and numerics ⋮ On the Skew and Curvature of the Implied and Local Volatilities ⋮ Estimating the Hurst parameter from short term volatility swaps: a Malliavin calculus approach ⋮ On the Harmonic Mean Representation of the Implied Volatility ⋮ On Smile Properties of Volatility Derivatives: Understanding the VIX Skew

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• Malliavin differentiability of the Heston volatility and applications to option pricing
• Nonparametric estimation for stochastic volatility models

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