Power law in Sandwiched Volterra Volatility model

Autor:	Giulia Di Nunno, Anton Yurchenko-Tytarenko
Jazyk:	angličtina
Rok vydání:	2024
Předmět:	SVV model stochastic volatility sandwiched process Gaussian Volterra noise Malliavin calculus Applied mathematics. Quantitative methods T57-57.97 Mathematics QA1-939
Zdroj:	Modern Stochastics: Theory and Applications, Vol 11, Iss 2, Pp 169-194 (2024)
Druh dokumentu:	article
ISSN:	2351-6046 2351-6054
DOI:	10.15559/24-VMSTA246
Popis:	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 differentiability of the volatility process is assessed and the conditions that lead to explosive behavior in the Malliavin derivative are investigated. As a supplementary result, a general Malliavin product rule is proved.
Databáze:	Directory of Open Access Journals
Externí odkaz:	https://doaj.org/article/ad4de6fbaed549e5a0045a58bea3c90b Zobrazit plný text záznamu View record in DOAJ