On the Skew Stickiness Ratio
Mathematical Finance
2026-02-06 v1 Probability
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 It\^o-Wentzell and Clark-Ocone formulae, and we apply it to analyze its asymptotics under Bergomi-type stochastic volatility models.
Keywords
Cite
@article{arxiv.2602.05241,
title = {On the Skew Stickiness Ratio},
author = {Masaaki Fukasawa},
journal= {arXiv preprint arXiv:2602.05241},
year = {2026}
}