On the short-time behavior of the implied volatility for jump-diffusion models with stochastic volatility
نویسندگان
چکیده
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 a diffusion or a Markov process, as the examples in Sect. 7 show. This expression depends on the derivative of the volatility in the sense of Malliavin calculus.
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ورودعنوان ژورنال:
- Finance and Stochastics
دوره 11 شماره
صفحات -
تاریخ انتشار 2007