The implied volatility of Forward-Start options: ATM short-time level, skew and curvature
classification
💱 q-fin.PR
q-fin.CP
keywords
volatilitycurvatureimpliedskewat-the-moneybehaviourcalculusclosed-form
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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.
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