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

Abstract

For stochastic volatility models, we study the short-time behaviour of the at-the-money implied volatility level, skew and curvature for forward-starting options. Our analysis is based on Malliavin Calculus techniques

Published as: The implied volatility of Forward-Start options: ATM short-time level, skew and curvature in Stochastics , Vol. 91, No. 1, 37-51, January, 2019