The Bachelier implied volatility: A Malliavin calculus approach.
The Bachelier implied volatility: A Malliavin calculus approach.
Speaker: Prof. Elisa Alos, Dept. of Economics and Business, University of Pompeu Fabra, Barcelona Abstract: We introduce the main tools of Malliavin calculus and show how to use them to study the short-end behavior of skew and curvature of the implied volatility surface. This methodology allows us to obtain general formulas in terms of Malliavin […]