On the short-time behavior of the implied volatility for jump-diffusion models with stochastic volatility
| Contribuinte(s) |
Universitat Pompeu Fabra. Departament d'Economia i Empresa |
|---|---|
| Data(s) |
04/10/2006
|
| Resumo |
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. |
| Identificador | |
| Idioma(s) |
eng |
| Direitos |
L'accés als continguts d'aquest document queda condicionat a l'acceptació de les condicions d'ús establertes per la següent llicència Creative Commons info:eu-repo/semantics/openAccess <a href="http://creativecommons.org/licenses/by-nc-nd/3.0/es/">http://creativecommons.org/licenses/by-nc-nd/3.0/es/</a> |
| Palavras-Chave | #Statistics, Econometrics and Quantitative Methods #black-scholes formula #derivative operator #itô's formula for the skorohod integral #jump-diffusion stochastic volatility model |
| Tipo |
info:eu-repo/semantics/workingPaper |
