Semantic Scholar Open Access 2022 3 sitasi

On the Skew and Curvature of the Implied and Local Volatilities

E. Alòs David Garc'ia-Lorite Makar Pravosud

Lihat Sumber DOI

Abstrak

ABSTRACT 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 recent rule (where H denotes the Hurst parameter of the volatility process) for rough volatilities (see F. Bourgey, S. De Marco, P. Friz, and P. Pigato. 2022. “Local Volatility under Rough Volatility.” arXiv:2204.02376v1 [q-fin.MF] https://doi.org/10.48550/arXiv.2204.02376.), that states that the short-time skew slope of the at-the-money implied volatility is of the corresponding slope for local volatilities. Moreover, we see that the at-the-money short-end curvature of the implied volatility can be written in terms of the short-end skew and curvature of the local volatility and vice versa. Additionally, this relationship depends on H.

Topik & Kata Kunci

Economics

Penulis (3)

E. Alòs

David Garc'ia-Lorite

Makar Pravosud

Format Sitasi

APA MLA BibTeX

Alòs, E., Garc'ia-Lorite, D., Pravosud, M. (2022). On the Skew and Curvature of the Implied and Local Volatilities. https://doi.org/10.1080/1350486X.2023.2261459

Akses Cepat

Lihat di Sumber doi.org/10.1080/1350486X.2023.2261459

Informasi Jurnal

Tahun Terbit: 2022
Bahasa: en
Total Sitasi: 3×
Sumber Database: Semantic Scholar
DOI: 10.1080/1350486X.2023.2261459
Akses: Open Access ✓