Basket Options with Volatility Skew: Calibrating a Local Volatility Model by Sample Rearrangement

By NICOLA F. ZAUGG, LECH A. GRZELAK

Published 2024-07-03

Everscope rating

1745.1

Relevance to quantitative trading

9 / 10

Implementation complexity

7 / 10

Reproducibility

4 / 5

About this paper

Methodology: Iterative Sort-Mix (ISM) algorithm. Problem types: Option Pricing, Calibration, Basket Derivatives Pricing.

arXiv:2407.02901 · Code · Paper rankings

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