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Arnaud555


Total Posts: 1
Joined: Aug 2017
 
Posted: 2017-08-26 16:11
Hello

Assuming we would manage to calibrate a multi asset stochastic volatility model (basket options repriced) would you assume worst of put option to have a different price compare to a local vol price?

Thx

granchio


Total Posts: 1535
Joined: Apr 2004
 
Posted: 2017-11-17 15:19
the quick heuristic answer is "of course, yes".
but your question is badly posed.

"Deserve got nothing to do with it" - Clint
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