<r> Hi, thanks Just wonder if you observe the following behavior When strike = last Price, then the break-even vol (BE vol) is smaller than those from other strikes ? Basically, I observe the pin-risk effect that the vol is smallest when the strike is at the last price ( on expiry date) that means w...

<t>Hi,Thanks a lot. The formula in your note gives relationship between one break-even vol and the returns, but I do not see the relationship between historical vol ( which is the stdev of the returns) and break-even vols Dermand in his notes "More than you ever wanted to know about volatility swaps...

Hi, the Dupire's paper mentioned the linkage between break-even vols and historical vol,What exactly the linkage (relationship) is ?thanks

<t>A more challenging question on how to generate correlated random nubmers. From the discussion it is quite simple, at least theoretically, to generate correlated random numbers in N(0,1), Chol would suffice. In my work, we need to generate correlated random numbers that also correlated to a given ...