The Implied Volatility of Forward Starting Options: ATM Short-Time Level, Skew and Curvature

  • Authors: Elisa Alòs.
  • BSE Working Paper: 988 | September 17
  • Keywords: Forward starting options , implied volatility , Malliavin calculus , stochastic volatility models
  • JEL codes: C02
  • Forward starting options
  • implied volatility
  • Malliavin calculus
  • stochastic volatility models
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Abstract

For stochastic volatility models, we study the short-time behaviour of the at-the-money implied volatility level, skew and curvature for forward-starting options. Our analysis is based on Malliavin Calculus techniques

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