We prove a set of simple relationships which directly link the volatility skew of a leveraged product with the volatility skew of the reference asset. Error estimates are included.
Roger Lee is an Associate Professor of Mathematics at the University of Chicago. He serves also as an Associate Editor of Mathematical Finance and an Associate Editor of the SIAM Journal on Financial Mathematics. Previously he held an NSF postdoctoral fellowship at Stanford University and at NYU, and worked in Global Equity-Linked Products at Merrill Lynch in New York. He has a PhD from Stanford University and a BA summa cum laude from Harvard University.
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