Basket Options with Volatility Skew: Calibrating a Local Volatility Model by Sample Rearrangement
By NICOLA F. ZAUGG, LECH A. GRZELAK
Rating
1609
Battle Count: 100
Relevance
9/10
Highly relevant for pricing and risk management of multi-asset derivatives, particularly in markets with significant volatility skew
Implementation Complexity
7/10
Moderate complexity due to the need for careful implementation of the rearrangement algorithm and calibration procedures
Reproducibility
4/5
The paper provides detailed algorithm descriptions and pseudo-code, enhancing reproducibility. A GitHub repository with implementation is also available.
About this paper
Methodology: Iterative Sort-Mix (ISM) algorithm. Problem types: Option Pricing, Calibration, Basket Derivatives Pricing.
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