Smile-consistent basket skew : vimarsana.com

An analytic approximation for the implied volatility surface of basket options is introduced

Related Keywords

Monte Carlo , Marco Avellaneda , Laurence Wang , Dan Pirjol , Bayer Laurence , Stevens Institute Of Technology , Communications In Pure , Communications On Pure , Stevens Institute , Applied Mathematics , Statistical Computing , Advanced Methods , Option Pricing , Financial Mathematics Series , Skew , Basket Options , Volatility , Correlation , Local Volatility Models , Implied Volatility , Volatility Surface , Options , Black Scholes , Cutting Edge , Anking , Derivatives ,