Hi all, Geometric Dispersion is becoming the new trendy product among institutional investors - 10s of millions of Vega are traded every year on this product. It consists in buying individual vol swap on stocks and selling vol swap on the basket of stocks. How would you model a vol swap on a basket ...

<t>Hi all,I have two questions related to autocalls in stochastic local vol (SLV) and Local Vol (LV) models :1- Why do we need to price autocalls in SLV and not LV ? My understanding is that the LV undestates the forward vol smile hence we overprice the value of the knock-in put in an LV model. Is t...