On the Skew and Curvature of the Implied and Local Volatilities

DOI10.1080/1350486x.2023.2261459zbMath1530.91542arXiv2205.11185OpenAlexW4387453563MaRDI QIDQ6092915

Elisa Alòs, Unnamed Author, David García Lorite

Publication date: 23 November 2023

Published in: Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2205.11185

zbMATH Keywords

stochastic volatilityMalliavin calculuslocal volatilityrough volatility

Mathematics Subject Classification ID

Stochastic calculus of variations and the Malliavin calculus (60H07) Financial markets (91G15)

Cites Work

• Mimicking the one-dimensional marginal distributions of processes having an Ito differential
• A rough SABR formula
• On the short-time behavior of the implied volatility for jump-diffusion models with stochastic volatility
• The Malliavin Calculus and Related Topics
• IMPLIED AND LOCAL VOLATILITIES UNDER STOCHASTIC VOLATILITY
• Pricing under rough volatility
• Malliavin Calculus in Finance
• On the Curvature of the Smile in Stochastic Volatility Models

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