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- W3124876144 abstract "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." @default.
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- W3124876144 date "2006-01-01" @default.
- W3124876144 modified "2023-09-27" @default.
- W3124876144 title "On the Short-Time Behavior of the Implied Volatility for Jump-Diffusion Models With Stochastic Volatility" @default.
- W3124876144 cites W1554577510 @default.
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- W3124876144 doi "https://doi.org/10.2139/ssrn.1002308" @default.
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