Authors: Elisa Alòs, Antoine Jacquier and Jorge A. León
Stochastics, Vol. 91, No 1, 37-51, January, 2019Using Malliavin Calculus techniques, we derive closed-form expressions for the at-the-money behaviour of the forward implied volatility, its skew and its curvature, in general Markovian stochastic volatility models with continuous paths.
This paper originally appeared as
Barcelona School of Economics Working Paper 988