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Cliquet Options - Is there a convention for applying the forward skew adjustment?
Taking, for example, a cliquet call spread we all know that deriving a skew from the vanilla vol surface will give too low a forward skew, in which case we need to apply some kind of correction. Is there a convention in how this correction is regarded, for example:- applying X% of the spot skew across all legs- taking x% of the spot skew price + y% of the forward skew price- something elseTks.