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Tatsuya Ogiwara

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Preprint Sep 2026

Basket implied volatility skew and stickiness

We study the short-maturity implied volatility and the skew stickiness ratio for baskets of assets with continuous, possibly rough, stochastic volatility. The fluctuation of the instantaneous basket variance has two sources: fluctuations of the constituent variances and fluctuations of the basket weights. We derive a n...

Masaaki Fukasawa, Jun Maeda, Tatsuya Ogiwara · 0 citations

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