On the Skew Stickiness Ratio

Published 5 Feb 2026 in q-fin.MF and math.PR | (2602.05241v1)

Abstract: 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.

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Masaaki Fukasawa

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