Smile-consistent basket skew

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 ,