A framework for robust measurement of implied correlation

A framework for robust measurement of implied correlation

0.00 Avg rating0 Votes
Article ID: iaor20141973
Volume: 271
Start Page Number: 39
End Page Number: 52
Publication Date: Dec 2014
Journal: Journal of Computational and Applied Mathematics
Authors: ,
Keywords: correlation
Abstract:

  • We determine correlation estimates by matching the observed index option price with its model price.
  • Different basket price approximations lead to different implied correlation estimates.
  • The industry standard for measuring implied correlation is a bad estimate when it is needed the most.
  • We propose a new approach for determining accurately implied correlations.
  • Reviews

    Required fields are marked *. Your email address will not be published.