The Implied Volatility of Forward-Start Options: ATM Short-Time Level, Skew and Curvature

18 Pages Posted: 3 Nov 2017

See all articles by Elisa Alos

Elisa Alos

University of Pompeu Fabra - Department of Economics

Antoine (Jack) Jacquier

Imperial College London; The Alan Turing Institute

Jorge A. Leon

Centro de Investigación y de Estudios Avanzados del IPN (CINVESTAV-IPN)

Date Written: November 1, 2017

Abstract

Using Malliavin Calculus techniques, we derive closed-form expressions for the at-the-money behaviour of the forward implied volatility, its skew and its curvature, in general Markovian stochastic volatility models with continuous paths.

Keywords: Forward-Start Options, Implied Volatility, Malliavin Calculus, Stochastic Volatility Models

Suggested Citation

Alos, Elisa and Jacquier, Antoine and Leon, Jorge A., The Implied Volatility of Forward-Start Options: ATM Short-Time Level, Skew and Curvature (November 1, 2017). Available at SSRN: https://ssrn.com/abstract=3063577 or http://dx.doi.org/10.2139/ssrn.3063577

Elisa Alos

University of Pompeu Fabra - Department of Economics ( email )

c/o Ramon Trias Fargas 25-27
08005 Barcelona
Spain
34 93 542 19 25 (Phone)
34 93 542 17 46 (Fax)

Antoine Jacquier (Contact Author)

Imperial College London ( email )

South Kensington Campus
London SW7 2AZ, SW7 2AZ
United Kingdom

HOME PAGE: http://wwwf.imperial.ac.uk/~ajacquie/

The Alan Turing Institute ( email )

British Library, 96 Euston Road
London, NW12DB
United Kingdom

Jorge A. Leon

Centro de Investigación y de Estudios Avanzados del IPN (CINVESTAV-IPN) ( email )

07360 Mexico, D.F.
Mexico

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