IDEAS home Printed from https://ideas.repec.org/p/arx/papers/2602.05241.html

On the Skew Stickiness Ratio

Author

Listed:
  • Masaaki Fukasawa

Abstract

The skew stickiness ratio is a statistic that captures the joint dynamics of an asset price and its volatility. We derive a representation formula for this quantity using the It\^o-Wentzell and Clark-Ocone formulae, and we apply it to analyze its asymptotics under Bergomi-type stochastic volatility models.

Suggested Citation

  • Masaaki Fukasawa, 2026. "On the Skew Stickiness Ratio," Papers 2602.05241, arXiv.org.
    • Handle: RePEc:arx:papers:2602.05241
    as

    Download full text from publisher

    File URL: http://arxiv.org/pdf/2602.05241
    File Function: Latest version
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. Nualart,David & Nualart,Eulalia, 2018. "Introduction to Malliavin Calculus," Cambridge Books, Cambridge University Press, number 9781107039124, November.
    2. Nualart,David & Nualart,Eulalia, 2018. "Introduction to Malliavin Calculus," Cambridge Books, Cambridge University Press, number 9781107611986, November.
    3. Masaaki Fukasawa, 2026. "Martingale expansion for stochastic volatility," Papers 2601.09324, arXiv.org, revised Feb 2026.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Hiroaki Hata & Nien-Lin Liu & Kazuhiro Yasuda, 2022. "Expressions of forward starting option price in Hull–White stochastic volatility model," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 45(1), pages 101-135, June.
    2. Ji Huang, 2023. "A Probabilistic Solution to High-Dimensional Continuous-Time Macro and Finance Models," CESifo Working Paper Series 10600, CESifo.
    3. Nourdin, Ivan & Pu, Fei, 2022. "Gaussian fluctuation for Gaussian Wishart matrices of overall correlation," Statistics & Probability Letters, Elsevier, vol. 181(C).
    4. Nourdin, Ivan & Nualart, David & Peccati, Giovanni, 2021. "The Breuer–Major theorem in total variation: Improved rates under minimal regularity," Stochastic Processes and their Applications, Elsevier, vol. 131(C), pages 1-20.
    5. Mauricio Elizalde & Carlos Escudero & Tomoyuki Ichiba, 2022. "Optimal investment with insider information using Skorokhod & Russo-Vallois integration," Papers 2211.07471, arXiv.org, revised Sep 2025.
    6. Elisa Al`os & Eulalia Nualart & Makar Pravosud, 2023. "On the implied volatility of Inverse options under stochastic volatility models," Papers 2401.00539, arXiv.org, revised Apr 2025.
    7. Ruzong Fan & Hong-Bin Fang, 2022. "Stochastic functional linear models and Malliavin calculus," Computational Statistics, Springer, vol. 37(2), pages 591-611, April.
    8. Masahiro Handa & Noriyoshi Sakuma & Ryoichi Suzuki, 2024. "A Girsanov transformed Clark-Ocone-Haussmann type formula for $$L^1$$ L 1 -pure jump additive processes and its application to portfolio optimization," Annals of Finance, Springer, vol. 20(3), pages 329-352, September.
    9. Hyungbin Park, 2021. "Influence of risk tolerance on long-term investments: A Malliavin calculus approach," Papers 2104.00911, arXiv.org.
    10. Fenge Chen & Bing Li & Xingchun Peng, 2022. "Portfolio Selection and Risk Control for an Insurer With Uncertain Time Horizon and Partial Information in an Anticipating Environment," Methodology and Computing in Applied Probability, Springer, vol. 24(2), pages 635-659, June.
    11. Elisa Al`os & Eulalia Nualart & Makar Pravosud, 2022. "On the implied volatility of Asian options under stochastic volatility models," Papers 2208.01353, arXiv.org, revised Mar 2024.
    12. Elisa Al`os & Eulalia Nualart & Makar Pravosud, 2023. "On the implied volatility of European and Asian call options under the stochastic volatility Bachelier model," Papers 2308.15341, arXiv.org, revised Feb 2025.
    13. Mauricio Elizalde & Carlos Escudero & Tomoyuki Ichiba, 2025. "Optimal Investment with Insider Information Using Skorokhod & Russo-Vallois Integration," Journal of Optimization Theory and Applications, Springer, vol. 207(3), pages 1-43, December.
    14. Chen, Xingzhi & Xu, Xin & Tian, Baodan & Li, Dong & Yang, Dan, 2022. "Dynamics of a stochastic delayed chemostat model with nutrient storage and Lévy jumps," Chaos, Solitons & Fractals, Elsevier, vol. 165(P1).
    15. Ang Ke & Jinbiao Wu & Biteng Xu, 2025. "Optimal Strategy of Mean-Field FBSDE Games with Delay and Noisy Memory Based on Malliavin Calculus," Dynamic Games and Applications, Springer, vol. 15(3), pages 906-946, July.
    16. Azmoodeh, Ehsan & Ljungdahl, Mathias Mørck & Thäle, Christoph, 2022. "Multi-dimensional normal approximation of heavy-tailed moving averages," Stochastic Processes and their Applications, Elsevier, vol. 145(C), pages 308-334.
    17. Ivan Nourdin & Giovanni Peccati & Xiaochuan Yang, 2022. "Multivariate Normal Approximation on the Wiener Space: New Bounds in the Convex Distance," Journal of Theoretical Probability, Springer, vol. 35(3), pages 2020-2037, September.
    18. Peng, Xingchun & Luo, Liuling, 2025. "Optimal investment strategy for DC pension with mean-weighted variance-CVaR criterion under partial information," Insurance: Mathematics and Economics, Elsevier, vol. 120(C), pages 302-324.
    19. Ehsan Azmoodeh & Yuliya Mishura & Farzad Sabzikar, 2022. "How Does Tempering Affect the Local and Global Properties of Fractional Brownian Motion?," Journal of Theoretical Probability, Springer, vol. 35(1), pages 484-527, March.
    20. Kohatsu-Higa, Arturo & Nualart, Eulalia & Tran, Ngoc Khue, 2022. "Density estimates for jump diffusion processes," Applied Mathematics and Computation, Elsevier, vol. 420(C).

    More about this item

    NEP fields

    This paper has been announced in the following NEP Reports:

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:arx:papers:2602.05241. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: arXiv administrators (email available below). General contact details of provider: http://arxiv.org/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.