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The Implied Volatility of Forward Starting Options: ATM Short-Time Level, Skew and Curvature

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  • Antoine Jacquier
  • Jorge A. León
  • Elisa Alòs

Abstract

For 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

Suggested Citation

  • Antoine Jacquier & Jorge A. León & Elisa Alòs, 2017. "The Implied Volatility of Forward Starting Options: ATM Short-Time Level, Skew and Curvature," Working Papers 988, Barcelona School of Economics.
    • Handle: RePEc:bge:wpaper:988
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    References listed on IDEAS

    as
    1. Elisa Alòs & Jorge León & Josep Vives, 2007. "On the short-time behavior of the implied volatility for jump-diffusion models with stochastic volatility," Finance and Stochastics, Springer, vol. 11(4), pages 571-589, October.
    2. Antoine Jacquier & Patrick Roome, 2012. "Asymptotics of forward implied volatility," Papers 1212.0779, arXiv.org, revised Feb 2015.
    3. Susanne Kruse & Ulrich Nögel, 2005. "On the pricing of forward starting options in Heston’s model on stochastic volatility," Finance and Stochastics, Springer, vol. 9(2), pages 233-250, April.
    4. Hull, John C & White, Alan D, 1987. "The Pricing of Options on Assets with Stochastic Volatilities," Journal of Finance, American Finance Association, vol. 42(2), pages 281-300, June.
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    • C02 - Mathematical and Quantitative Methods - - General - - - Mathematical Economics

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