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Let's say you have 5 paths leading to given strike and time. Path 1 local vol 11%, Path 2 local vol 12%, path 3 local vol 12.5%, path 4 local vol 13%, path 5 local vol 14%. The implied vol for 0 - 5th path is the avergage, therefore 12.5%. Right? So using 12.5% implied vol would give me the market price of the vanilla for a given strike and time. What if i ...



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