11 citations · 19 across the 14 of their papers we have counts for
19 papers
Estimating the Hurst parameter from the zero vanna implied volatility and its dual
Elisa Alos, Frido Rolloos, Kenichiro Shiraya
The covariance between the return of an asset and its realized volatility can be approximated as the difference between two specific implied volatilities. In this paper it is prove…
Volatility Modeling with Rough Paths: A Signature-Based Alternative to Classical Expansions
Elisa Alòs, Òscar Burés, Rafael de Santiago +1
We study two complementary methodologies for calibrating implied volatility surfaces: analytical approximations and data-driven models based on rough path theory. On the analytical…
Short-time behavior of the At-The-Money implied volatility for the jump-diffusion stochastic volatility Bachelier model
Elisa Alòs, Òscar Burés, Josep Vives
In this paper we use Malliavin Calculus techniques in order to obtain expressions for the short-time behavior of the at-the-money implied volatility (ATM-IV) level and skew for a j…
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…
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…
A lower bound for the volatility swap in the lognormal SABR model
E. Alòs, F. Rolloos, K. Shiraya
In the short time to maturity limit it is proved that for the conditionally lognormal SABR model the zero vanna implied volatility is a lower bound for the volatility swap strike.…