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Title:
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On the short-time behavior of the implied volatility for jump-diffusion models with stochastic volatility
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Author:
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Alòs, Elisa; León, Jorge A.; Vives, Josep
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Other authors:
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Universitat Pompeu Fabra. Departament d'Economia i Empresa |
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Resum:
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In this paper we use Malliavin calculus techniques to obtain an expression for the short-time behavior of the at-the-money implied volatility skew for a generalization of the Bates model, where the volatility does not need to be neither a difussion, nor a Markov process as the examples in section 7 show. This expression depends on the derivative of the volatility in the sense of Malliavin calculus. |
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Publication date:
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2006-10-04 |
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Subject(s):
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Black-Scholes formula, derivative operator, Itô's formula for the Skorohod integral, jump-diffusion stochastic volatility model |
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Rights:
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Aquest document està subjecte a una llicència d'ús de Creative Commons, amb la qual es permet copiar, distribuir i comunicar públicament l'obra sempre que se'n citin l'autor original, la universitat i el departament i no se'n faci cap ús comercial ni obra derivada, tal com queda estipulat en la llicència d'ús (http://creativecommons.org/licenses/by-nc-nd/2.5/es/) |
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Document type:
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Working Paper |
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