EM
发帖数: 715 | 1 Assume we know both vol skews of commodity A and commodity B, futures prices, constant rate, and correlation, is there a practical method to imply the vol skew of the price ratio of commodity A / B? | EM
发帖数: 715 | | l***u
发帖数: 91 | 3 assuming a correlation structure then price a option which pays
max(A/B,0) then implied vol from price. You get your vol skew
Otherwise, if you can model your skew in a functional form (local vol),
do an ito on A/B
prices, constant rate, and correlation, is there a practical method to imply
the vol skew of the price ratio of commodity A / B?
【在 EM 的大作中提到】
: Assume we know both vol skews of commodity A and commodity B, futures prices, constant rate, and correlation, is there a practical method to imply the vol skew of the price ratio of commodity A / B?
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