4 papers
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…
On the implied volatility of Asian options under stochastic volatility models
Elisa Alòs, Eulalia Nualart, Makar Pravosud
In this paper we study the short-time behavior of the at-the-money implied volatility for arithmetic Asian options with fixed strike price. The asset price is assumed to follow the…
On the skew and curvature of implied and local volatilities
Elisa Alòs, David García-Lorite, Makar Pravosud
In this paper, we study the relationship between the short-end of the local and the implied volatility surfaces. Our results, based on Malliavin calculus techniques, recover the re…