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...
In this paper, generalizing results in Alòs, León and Vives (2007b), we see that the dependence of j...
We study asymptotics of forward-start option prices and the forward implied volatility smile using t...
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...
We introduce an analytical approximation to efficiently price forward start options on equ...
We introduce an analytical approximation to efficiently price forward start options on equ...
A quantitative analysis on the pricing of forward starting options under stochastic volatility and s...
Forward start options are examined in Heston's (Review of Financial Studies 6 (1993) 327-343) stocha...
A quantitative analysis on the pricing of forward starting options under stochastic volatility and s...
A quantitative analysis on the pricing of forward starting options under stochastic volatility and s...
In this paper we study the short-time behavior of the at-the-money implied volatility for arithmetic...
We consider the problem of pricing European forward starting options in the presence of stochastic v...
We derive a closed-form asymptotic expansion formula for option implied volatility under a two-facto...
We introduce an approximation of forward-start options in a multi-factor local-stochastic volatility...
We derive a closed-form asymptotic expansion formula for option implied volatility under a two-facto...
In this paper, generalizing results in Alòs, León and Vives (2007b), we see that the dependence of j...
We study asymptotics of forward-start option prices and the forward implied volatility smile using t...
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...
We introduce an analytical approximation to efficiently price forward start options on equ...
We introduce an analytical approximation to efficiently price forward start options on equ...
A quantitative analysis on the pricing of forward starting options under stochastic volatility and s...
Forward start options are examined in Heston's (Review of Financial Studies 6 (1993) 327-343) stocha...
A quantitative analysis on the pricing of forward starting options under stochastic volatility and s...
A quantitative analysis on the pricing of forward starting options under stochastic volatility and s...
In this paper we study the short-time behavior of the at-the-money implied volatility for arithmetic...
We consider the problem of pricing European forward starting options in the presence of stochastic v...
We derive a closed-form asymptotic expansion formula for option implied volatility under a two-facto...
We introduce an approximation of forward-start options in a multi-factor local-stochastic volatility...
We derive a closed-form asymptotic expansion formula for option implied volatility under a two-facto...
In this paper, generalizing results in Alòs, León and Vives (2007b), we see that the dependence of j...
We study asymptotics of forward-start option prices and the forward implied volatility smile using t...