NDLI: The implied volatility of Forward-Start options: ATM short-time level, skew and curvature

Content Provider	Scilit
Author	Alòs, Elisa Jacquier, Antoine León, Jorge A.
Copyright Year	2018
Related Links	http://arxiv.org/pdf/1710.11232
Ending Page	51
Page Count	15
Starting Page	37
ISSN	17442508
e-ISSN	17442516
DOI	10.1080/17442508.2018.1499105
Journal	Stochastics
Issue Number	1
Volume Number	91
Language	English
Publisher	Informa UK Limited
Publisher Date	2019-01-02
Access Restriction	Open
Subject Keyword	Journal: Stochastics Finance Religion and Religious Studies Forward-start Options Implied Volatility Malliavin Calculus Stochastic Volatility Models
Content Type	Text
Resource Type	Article
Subject	Statistics and Probability Modeling and Simulation

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The implied volatility of Forward-Start options: ATM short-time level, skew and curvature