Essays on Malliavin Calculus in Finance
In this thesis we study the asymptotic behaviour of the at-the-money skew and the level of the implied volatility of a European, an Asian, Inverse and Quanto Inverse call options under a general stochastic volatility model. In particular, we consider dynamics of the underlying asset driven by stocha...
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| Format: | doctoral thesis |
| Status: | Published version |
| Publication Date: | 2024 |
| Country: | España |
| Institution: | CBUC, CESCA |
| Repository: | TDR. Tesis Doctorales en Red |
| OAI Identifier: | oai:www.tdx.cat:10803/691785 |
| Online Access: | http://hdl.handle.net/10803/691785 |
| Access Level: | Open access |
| Keyword: | Malliavin calculus 33 |
| Summary: | In this thesis we study the asymptotic behaviour of the at-the-money skew and the level of the implied volatility of a European, an Asian, Inverse and Quanto Inverse call options under a general stochastic volatility model. In particular, we consider dynamics of the underlying asset driven by stochastic volatility Black-Scholes and Bachelier type of models. Additionally, we present analytical results regarding the relationship between the skew and the curvature of the implied volatility and the corresponding local volatility in the case of rough volatility models. |
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