Zobrazeno 1 - 10
of 59
pro vyhledávání: '"Alos, Elisa"'
In this paper we study short-time behavior of the at-the-money implied volatility for Inverse European options with fixed strike price. The asset price is assumed to follow a general stochastic volatility process. Using techniques of the Malliavin ca
Externí odkaz:
http://arxiv.org/abs/2401.00539
In this paper we study the short-time behavior of the at-the-money implied volatility for European and arithmetic Asian call options with fixed strike price. The asset price is assumed to follow the Bachelier model with a general stochastic volatilit
Externí odkaz:
http://arxiv.org/abs/2308.15341
In this paper we study the short-time behavior of the at-the-money implied volatility for arithmetic Asian options with fixed strike price. The asset price is assumed to follow the Black-Scholes model with a general stochastic volatility process. Usi
Externí odkaz:
http://arxiv.org/abs/2208.01353
This paper shows the relationship between the forward start volatility swap price and the forward start zero vanna implied volatility of forward start options in rough volatility models. It is shown that in the short time-to-maturity limit the approx
Externí odkaz:
http://arxiv.org/abs/2207.10370
In this paper, we study the relationship between the short-end of the local and the implied volatility surfaces. Our results, based on Malliavin calculus techniques, recover the recent $\frac{1}{H+3/2}$ rule (where $H$ denotes the Hurst parameter of
Externí odkaz:
http://arxiv.org/abs/2205.11185
In this work we present a general representation formula for the price of a vulnerable European option, and the related CVA in stochastic (either rough or not) volatility models for the underlying's price, when admitting correlation with the default
Externí odkaz:
http://arxiv.org/abs/2204.11554
We provide a probabilistic SIRD model for the COVID-19 pandemic in Italy, where we allow the infection, recovery and death rates to be random. In particular, the underlying random factor is driven by a fractional Brownian motion. Our model is simple
Externí odkaz:
http://arxiv.org/abs/2008.00033
In this paper, Malliavin calculus is applied to arrive at exact formulas for the difference between the volatility swap strike and the zero vanna implied volatility for volatilities driven by fractional noise. To the best of our knowledge, our estima
Externí odkaz:
http://arxiv.org/abs/1912.05383
In this work we want to provide a general principle to evaluate the CVA (Credit Value Adjustment) for a vulnerable option, that is an option subject to some default event, concerning the solvability of the issuer. CVA is needed to evaluate correctly
Externí odkaz:
http://arxiv.org/abs/1907.12922