Equity derivatives: Index volatility surface via moment-matching techniques - The authors present a basket construction technique using Gram-Charlier-Edgeworth expansions. They show how to express basket option skews and smiles in terms of its underlying components, and demonstrate how market-dependent correlation is necessary to fit observed properties of index options.
| Year of publication: |
2003
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|---|---|
| Authors: | Lee, Peter ; Wang, Limin ; Karim, Abdelkerim |
| Published in: |
Risk : managing risk in the world's financial markets. - London : Incisive Financial Publ, ISSN 0952-8776, ZDB-ID 10494753. - Vol. 16.2003, 12, p. 85-90
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