The implied volatility of Forward-Start options: ATM short-time level, skew and curvature (Q5086415)
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scientific article; zbMATH DE number 7553355
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| English | The implied volatility of Forward-Start options: ATM short-time level, skew and curvature |
scientific article; zbMATH DE number 7553355 |
Statements
The implied volatility of Forward-Start options: ATM short-time level, skew and curvature (English)
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5 July 2022
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forward-start options
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implied volatility
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Malliavin calculus
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stochastic volatility models
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0.8881667
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0.8742454
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0.8740467
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0.86909425
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0.86846656
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0.86572343
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0.8593045
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0.8576326
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