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

30 Oct 2017  ·  Alos Elisa, Jacquier Antoine, Leon Jorge ·

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...

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