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

页码：571 / 589

页数：18

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