---
title: Smile Consistent Basket Skew
url: https://www.ml-quant.com/papers/ssrn/4702005/
site: ML-Quant (https://www.ml-quant.com)
updated: 2026-09-26
license: Summaries CC BY 4.0; links go to the original sources
index: https://www.ml-quant.com/llms.txt
identifier: SSRN 4702005
source_url: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4702005
featured: 2024-01-23
citations: 2
topic: Derivatives & Volatility
---


# 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.

- Source: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4702005
- Identifier: SSRN 4702005
- Released: 2023-12-21
- First featured: Quant Letter No. 34 (2024-01-23): https://www.ml-quant.com/issues/2024-01-23/
- Citations (Semantic Scholar): 2
- Published in: not yet
- Topic: Derivatives & Volatility

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