The implied volatility of Forward-Start options: ATM short-time level, skew and curvature (2017)

First Author: Alos 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/10.48550/arxiv.1710.11232

Publication URI: https://arxiv.org/abs/1710.11232

Type: Preprint