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

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.

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Year of publication:	2006-06
Authors:	Alòs, Elisa ; León, Jorge A. ; Vives, Josep
Institutions:	Department of Economics and Business, Universitat Pompeu Fabra
Subject:	Black-Scholes formula \| derivative operator \| Itô's formula for the Skorohod integral \| jump-diffusion stochastic volatility model

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Extent:	application/pdf
Series:	Economics Working Papers.
Type of publication:	Book / Working Paper
Language:	English
Classification:	G12 - Asset Pricing ; G13 - Contingent Pricing; Futures Pricing
Source:	RePEc - Research Papers in Economics

Persistent link: https://ebvufind01.dmz1.zbw.eu/10005827440