On the Skew Stickiness Ratio
Fuente:
arXiv
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| Format: | Preprint |
| Published: |
2026
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| _version_ | 1866914306814115840 |
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| author | Fukasawa, Masaaki |
| author_facet | Fukasawa, Masaaki |
| contents | The skew stickiness ratio is a statistic that captures the joint dynamics of an asset price and its volatility. We derive a representation formula for this quantity using the Itô-Wentzell and Clark-Ocone formulae, and we apply it to analyze its asymptotics under Bergomi-type stochastic volatility models. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2602_05241 |
| institution | arXiv |
| publishDate | 2026 |
| record_format | arxiv |
| spellingShingle | On the Skew Stickiness Ratio Fukasawa, Masaaki Mathematical Finance Probability The skew stickiness ratio is a statistic that captures the joint dynamics of an asset price and its volatility. We derive a representation formula for this quantity using the Itô-Wentzell and Clark-Ocone formulae, and we apply it to analyze its asymptotics under Bergomi-type stochastic volatility models. |
| title | On the Skew Stickiness Ratio |
| topic | Mathematical Finance Probability |
| url | https://arxiv.org/abs/2602.05241 |