The Implied Volatility of Forward-Start Options: ATM Short-Time Level, Skew and Curvature
18 Pages Posted: 3 Nov 2017
Date Written: November 1, 2017
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.
Keywords: Forward-Start Options, Implied Volatility, Malliavin Calculus, Stochastic Volatility Models
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