Finding 6161Emerging EvidenceValidation V0
The study employs advanced mathematics via Malliavin calculus to analyze at-the-money curvature of Bachelier implied volatility, splitting it into two distinct components from uncorrelated dynamics and correlation with fractional volatility.
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Supporting75% linkage confidence
The study employs advanced mathematics via Malliavin calculus to analyze at-the-money curvature of Bachelier implied volatility, splitting it into two distinct components from uncorrelated dynamics and correlation with fractional volatility.
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Inspect source: On the Curvature of the Bachelier Implied Volatility →This Finding was extracted from the configured corpus. It is versioned, traceable, and may evolve through editorial review or new corpus evidence.