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Basket implied volatility skew and stickiness

Fukasawa, Masaaki et al.
arXiv (All) · Papers
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mathematical-financepricing-of-securitiesprobability
We study the short-maturity implied volatility and the skew stickiness ratio for baskets of assets with continuous, possibly rough, stochastic volatility. The fluctuation of the instantaneous basket variance has two sources: fluctuations of the constituent variances and fluctuations of the basket we
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