On the Skew Stickiness Ratio
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.
Fields of Study & Subjects
Stochastic processes and financial applications
Financial Risk and Volatility Modeling
Financial Markets and Investment Strategies
Publication details
- Journal / source
- arXiv (Cornell University)
- Publication date
- 5 February 2026
- Document type
- Preprint