2 papers
q-fin.MF2025
On the implied volatility of Inverse options under stochastic volatility models
Elisa Alòs, Eulalia Nualart, Makar Pravosud
In this paper we study short-time behavior of the at-the-money implied volatility for Inverse European options with fixed strike price. The asset price is assumed to follow a gener…
q-fin.MF2025
On the implied volatility of European and Asian call options under the stochastic volatility Bachelier model
Elisa Alòs, Eulalia Nualart, Makar Pravosud
In this paper we study the short-time behavior of the at-the-money implied volatility for European and arithmetic Asian call options with fixed strike price. The asset price is ass…