The implied volatility of Forward-Start options: ATM short-time level,skew and curvature |
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| Authors: | Elisa Alòs Jorge A. León |
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| Affiliation: | 1. Department of d'Economia i Empresa and Barcelona GSE, Universitat Pompeu Fabra, Barcelona, Spain;2. Control Automático, CINVESTAV-IPN, Ciudad de México, Mexico |
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| Abstract: | 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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| Keywords: | Forward-start options implied volatility Malliavin calculus stochastic volatility models |
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