Resumen de On the short-time behavior of the implied volatility for jump-diffusion models with stochastic volatility

Josep Vives Santa-Eulàlia , Jorge Alberto León Vázquez , Elisa Alòs

• In this paper we use Malliavin calculus techniques to obtain an expression for the short-time behavior of the at-the-money implied volatility skew for a generalization of the Bates model, where the volatility does not need to be neither a difussion, nor a Markov process as the examples in section 7 show. This expression depends on the derivative of the volatility in the sense of Malliavin calculus.