On the short-time behavior of the implied volatility for jump-diffusion models with stochastic volatility

被引：0
|
作者：
Elisa Alòs
Jorge A. León
Josep Vives
机构：
[1] Universitat Pompeu Fabra,Dpt. d’Economia i Empresa
[2] CINVESTAV-IPN,Control Automático
[3] Universitat Autònoma de Barcelona,Dpt. de Matemàtiques
[4] Universitat de Barcelona,Dpt. Probabilitat, Lògica i Estadística
来源：
Finance and Stochastics | 2007年 / 11卷
关键词：
Black-Scholes formula; Derivative operator; Itô’s formula for the Skorohod integral; Jump-diffusion stochastic volatility model; G12; G13; 91B28; 91B70; 60H07;
D O I：
暂无
中图分类号：
学科分类号：
摘要：
In this paper we use Malliavin calculus techniques to obtain an expression for the short-time behavior of the at-the-money implied volatility skew for a generalization of the Bates model, where the volatility does not need to be a diffusion or a Markov process, as the examples in Sect. 7 show. This expression depends on the derivative of the volatility in the sense of Malliavin calculus.
引用
收藏
页码：571 / 589
页数：18
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