We use Malliavin calculus techniques to obtain an expression for the short-time behavior of the at-the-money implied volatility skew and smile, in the context of stochastic volatility models.
Our analysis does not requiere the volatility to be a diffusion or a Markov process. The obtained results will give us a tool to construct new models that can allow us to explain the empirical term structure of the implied volatility surface (joint works with J. León and J. Vives).
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