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- W2184212556 abstract "We develop an asymptotic formula for calculating the implied volatility of European index options based on the volatility skews of the options on the underlying stocks and on a given correlation matrix for the basket. The derivation uses the steepestdescent approximation for evaluating the multivariate probability distribution function for stock prices, which is based on large-deviation estimates of diffusion processes densities by Varadhan (Comm. Pure Appl. Math. 20 (1967)). A detailed version of these results can be found in (RISK 15 (10) (2002)). To cite this article: M. Avellaneda et al., C. R. Acad. Sci. Paris, Ser. I 336 (2003)." @default.
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- W2184212556 date "2003-01-01" @default.
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- W2184212556 title "Application of large deviation methods to the pricing of index options in finance Méthodes de grandes déviations et pricing d'options sur indice" @default.
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