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
| Language | Label | Description | Also known as |
|---|---|---|---|
| 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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