The implied volatility of Forward-Start options: ATM short-time level, skew and curvature-Reference-Cited by-同舟云学术

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The implied volatility of Forward-Start options: ATM short-time level, skew and curvature

Published:2018-07-30 Issue:1 Volume:91 Page:37-51
ISSN:1744-2508
Container-title:Stochastics
language:en
Short-container-title:Stochastics

Author:

Alòs Elisa¹,Jacquier Antoine²³,León Jorge A.⁴

Affiliation:

1. Department of d'Economia i Empresa and Barcelona GSE, Universitat Pompeu Fabra, Barcelona, Spain

2. Department of Mathematics, Imperial College London, London, UK

3. Department of Mathematics, Baruch College, CUNY, New York, NY, USA

4. Control Automático, CINVESTAV-IPN, Ciudad de México, Mexico

Funder

Spanish Ministry of Economy and Competitiveness

CONACyT

Universitat Barcelona, Universitat Pompeu Fabra

Centre de Recerca Matemàtica of Universitat Autònoma de Barcelona

Engineering and Physical Sciences Research Council

Publisher

Informa UK Limited

Subject

Modeling and Simulation,Statistics and Probability

Link

https://www.tandfonline.com/doi/pdf/10.1080/17442508.2018.1499105

Reference13 articles.

1. On the short-time behavior of the implied volatility for jump-diffusion models with stochastic volatility

2. Affine processes and applications in finance

3. Convergence of At-The-Money Implied Volatilities to the Spot Volatility

4. A generalization of Rubinstein's “Pay now, choose later”

5. The Small-Maturity Heston Forward Smile

Cited by 2 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Forward starting options pricing under a regime-switching jump-diffusion model with Wishart stochastic volatility and stochastic interest rate;International Journal of Computer Mathematics;2024-03-03

2. An Intuitive Introduction to Fractional and Rough Volatilities;Mathematics;2021-04-28

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