Power law in Sandwiched Volterra Volatility model
The paper presents an analytical proof demonstrating that the Sandwiched Volterra Volatility (SVV) model is able to reproduce the power-law behavior of the at-the-money implied volatility skew, provided the correct choice of the Volterra kernel. To obtain this result, the second-order Malliavin diff...
| Auteurs principaux: | , |
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| Format: | Article |
| Langue: | English |
| Publié: |
VTeX
2024-01-01
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| Collection: | Modern Stochastics: Theory and Applications |
| Sujets: | |
| Accès en ligne: | https://www.vmsta.org/doi/10.15559/24-VMSTA246 |