Add to ORKGFor stochastic volatility models, we study the short-time behaviour of the at-the-money implied volatility level, skew and curvature for forward-starting options. Our analysis is based on Malliavin Calculus techniques
We derive a closed-form asymptotic expansion formula for option implied volatility under a two-facto...
A quantitative analysis on the pricing of forward starting options under stochastic volatility and s...
We employ Malliavin calculus techniques to compute the Delta of European type options in the presenc...
For stochastic volatility models, we study the short-time behaviour of the at-the-money implied vola...
In this paper we use Malliavin calculus techniques to obtain an expression for the short-time behavi...
In this paper, generalizing results in Alòs, León and Vives (2007b), we see that the dependence of j...
In this paper we study the short-time behavior of the at-the-money implied volatility for arithmetic...
We discuss the application of gradient methods to calibrate mean reverting stochastic volatility mod...
We derive a closed-form asymptotic expansion formula for option implied volatility under a two-facto...
We introduce an analytical approximation to efficiently price forward start options on equ...
We consider a local volatility model, with volatility taking two possible values, depending on the v...
We derive a closed-form asymptotic expansion formula for option implied volatility under a two-facto...
We introduce an analytical approximation to efficiently price forward start options on equ...
We study the problem of implied volatility surface construction when asset prices are determined by ...
A quantitative analysis on the pricing of forward starting options under stochastic volatility and s...
We derive a closed-form asymptotic expansion formula for option implied volatility under a two-facto...
A quantitative analysis on the pricing of forward starting options under stochastic volatility and s...
We employ Malliavin calculus techniques to compute the Delta of European type options in the presenc...
For stochastic volatility models, we study the short-time behaviour of the at-the-money implied vola...
In this paper we use Malliavin calculus techniques to obtain an expression for the short-time behavi...
In this paper, generalizing results in Alòs, León and Vives (2007b), we see that the dependence of j...
In this paper we study the short-time behavior of the at-the-money implied volatility for arithmetic...
We discuss the application of gradient methods to calibrate mean reverting stochastic volatility mod...
We derive a closed-form asymptotic expansion formula for option implied volatility under a two-facto...
We introduce an analytical approximation to efficiently price forward start options on equ...
We consider a local volatility model, with volatility taking two possible values, depending on the v...
We derive a closed-form asymptotic expansion formula for option implied volatility under a two-facto...
We introduce an analytical approximation to efficiently price forward start options on equ...
We study the problem of implied volatility surface construction when asset prices are determined by ...
A quantitative analysis on the pricing of forward starting options under stochastic volatility and s...
We derive a closed-form asymptotic expansion formula for option implied volatility under a two-facto...
A quantitative analysis on the pricing of forward starting options under stochastic volatility and s...
We employ Malliavin calculus techniques to compute the Delta of European type options in the presenc...