Estimating the Hurst parameter from short term volatility swaps: a Malliavin calculus approach

Author:

Alòs Elisa,Shiraya Kenichiro

Publisher

Springer Science and Business Media LLC

Subject

Statistics, Probability and Uncertainty,Finance,Statistics and Probability

Reference19 articles.

1. Akahori, J., Song, X., Wang, T.H.: Probability density of lognormal fractional SABR model. Working paper (2017). Available online at: arXiv:1702.08081

2. Alòs, E.: A generalization of the Hull and White formula with applications to option pricing approximation. Finance Stoch. 10, 353–365 (2006)

3. Alòs, E., León, J.A.: On the curvature of the smile in stochastic volatility models. SIAM J. Financ. Math. 8, 373–399 (2017)

4. Alòs, E., León, J.A., Vives, J.: On the short-time behavior of the implied volatility for jump-diffusion models with stochastic volatility. Finance Stoch. 11, 571–589 (2007)

5. Bergomi, L., Guyon, J.: The smile in stochastic volatility models. Working paper (2011). Available online at: https://ssrn.com/abstract=1967470

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