On the short-time behavior of the implied volatility for jump-diffusion models with stochastic volatility

• Autores: Josep Vives Santa-Eulàlia, Jorge Alberto León Vázquez, Elisa Alòs
• Localización: Working Papers ( Universitat Pompeu Fabra. Departamento de Economía y Empresa ), Nº. 969, 2006
• Idioma: inglés
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• Resumen

  • In this paper we use Malliavin calculus techniques to obtain an expression for the short-time behavior of the at-the-money implied volatility skew for a generalization of the Bates model, where the volatility does not need to be neither a difussion, nor a Markov process as the examples in section 7 show. This expression depends on the derivative of the volatility in the sense of Malliavin calculus.