Smile Consistent Basket Skew
A paper introduces analytical approximations for the skew and convexity of an option on a basket of assets, which can be used to estimate the basket implied volatility at strikes around the ATM point and sufficiently small volatility or maturity.
Featured in No. 34 on 23 Jan 2024 · 33 days after release · 2 citations today
- Released
- 21 Dec 2023
- First featured
- No. 34 · 23 Jan 2024
- Citations (Semantic Scholar)
- 2
- Influential citations
- 0
- Published in
- Not yet, as far as Semantic Scholar knows
- Shares when featured
- 2
- Identifier
- SSRN 4702005
Citations and venue from Semantic Scholar (ODC-BY), refreshed weekly. Summary: Quant Letter (CC BY 4.0).