In the recent years, banks have sold structured products such as Worst-of options, Everest and Himalayas, resulting in a short correlation exposure. They have hence become interested in offsetting part of this exposure, namely buying back correlation. Two ways have been proposed for such a...

The purpose of this paper is to improve and discuss the asymptotic formula of the implied volatility (when maturity goes to infinity) given in [3]. Indeed, we are here able to provide more accurate at-the-money asymptotics. Such analytic formulas are useful for calibration.