, as well as to the correlation between the assets returns and their volatilities. This article considers a multiasset … multiasset stochastic volatility model with constant instantaneous correlations shows the existence of a stochastic correlation …

how our newly designed basket option pricing formula can be used to define implied Lévy correlation by matching model and … market prices for basket options. Our main finding is that the implied Lévy correlation smile is flatter than its Gaussian … counterpart. Furthermore, if (near) at-the-money option prices are used, the corresponding implied Gaussian correlation estimate …