Publications The implied volatility of Forward-Start options: ATM short-time level, skew and curvature
The implied volatility of Forward-Start options: ATM short-time level, skew and curvature
Authors: Antoine Jacquier, Jorge A. León and Elisa Alòs.
Stochastics
Statistics
Using Malliavin Calculus techniques, we derive closed-form expressions for the at-the-money behaviour of the forward implied volatility, its skew and its curvature, in general Markovian stochastic volatility models with continuous paths.