The implied volatility of Forward-Start options: ATM short-time level, skew and curvature (2018)

First Author: Alòs E
Attributed to:  Asymptotics and dynamics of forward implied volatility funded by EPSRC

Abstract

No abstract provided

Bibliographic Information

Digital Object Identifier: http://dx.doi.org/10.1080/17442508.2018.1499105

Publication URI: http://dx.doi.org/10.1080/17442508.2018.1499105

Type: Journal Article/Review

Parent Publication: Stochastics

Issue: 1