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Forward Skew in Implied Volatility by Anonymous 5mSMeP2j is a document available to read on EtoBox.
This document presents a study of the implied volatility of forward-starting options. Specifically, it analyzes the at-the-money short-time behavior of the implied volatility level, skew, and curvature for forward-starting options under stochastic volatility models using Malliavin calculus techniques. The paper provides theoretical results on how the implied volatility level depends on the correlation parameter, how the skew depends on the Malliavin derivative of the volatility process, and that the curvatu
- Author
- Anonymous 5mSMeP2j
- Language
- EN