{"entities":{"Q2847242":{"pageid":2857962,"ns":120,"title":"Item:Q2847242","lastrevid":83495066,"modified":"2026-05-07T08:25:35Z","type":"item","id":"Q2847242","labels":{"en":{"language":"en","value":"Equity correlations implied by index options: estimation and model uncertainty analysis"}},"descriptions":{"en":{"language":"en","value":"scientific article; zbMATH DE number 6205337"}},"aliases":{},"claims":{"P31":[{"mainsnak":{"snaktype":"value","property":"P31","hash":"fd5912e4dab4b881a8eb0eb27e7893fef55176ad","datavalue":{"value":{"entity-type":"item","numeric-id":56887,"id":"Q56887"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q2847242$ADDD1B2C-0CC2-4AD3-BB17-5D79FFF7FE7B","rank":"normal"}],"P225":[{"mainsnak":{"snaktype":"value","property":"P225","hash":"7db94fdb8d32dbfa5dfdc901d5a86885e03f1b8a","datavalue":{"value":"1280.91167","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q2847242$BC42D22A-513E-4BCC-B01E-63546CBDA2FB","rank":"normal"}],"P16":[{"mainsnak":{"snaktype":"value","property":"P16","hash":"ac68b7c8f182078752ea104b0dd910c8b740937d","datavalue":{"value":{"entity-type":"item","numeric-id":245188,"id":"Q245188"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q2847242$D10F2F61-8304-4CB1-9DF9-C6811D469851","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P16","hash":"1cfcb6e9ac82cf759158d94497ff6b88a0190307","datavalue":{"value":{"entity-type":"item","numeric-id":2841417,"id":"Q2841417"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q2847242$C5C074C1-F641-42B4-8155-43C6D574CCE6","rank":"normal"}],"P200":[{"mainsnak":{"snaktype":"value","property":"P200","hash":"1de4b540dbe99c646bddaded804e9f35ff2494c3","datavalue":{"value":{"entity-type":"item","numeric-id":140029,"id":"Q140029"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q2847242$EF53B343-A5FC-42D9-80E7-7EB1CE04D537","rank":"normal"}],"P28":[{"mainsnak":{"snaktype":"value","property":"P28","hash":"88c047150e90eaeb91d20cf51fd19317d500afb9","datavalue":{"value":{"time":"+2013-09-04T00:00:00Z","timezone":0,"before":0,"after":0,"precision":11,"calendarmodel":"http://www.wikidata.org/entity/Q1985727"},"type":"time"},"datatype":"time"},"type":"statement","id":"Q2847242$6D5D182A-BA47-4040-97B6-311D9F9F8A76","rank":"normal"}],"P226":[{"mainsnak":{"snaktype":"value","property":"P226","hash":"82cd6ba3de809c77ad4ab5a51dd4d14c3b158a01","datavalue":{"value":"91G20","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q2847242$3A0142ED-1B8F-434F-B92B-66D027F546F7","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P226","hash":"e2004744ca6d6853aa39418c1f8e5dbee3912468","datavalue":{"value":"91G60","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q2847242$A49AB3DA-0242-4FBA-9CF3-E7569D4C5917","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P226","hash":"ccd1dd4cefa81e8158b9f080486a4eaed61a9ee8","datavalue":{"value":"90C25","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q2847242$25DA5E27-F378-499D-B559-2468569B0AE7","rank":"normal"}],"P1451":[{"mainsnak":{"snaktype":"value","property":"P1451","hash":"b6f73bd0774f143edddf278c1f0a448a127274f4","datavalue":{"value":"6205337","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q2847242$ED8EA785-A18D-44C2-9F19-C65770BEE7BF","rank":"normal"}],"P1450":[{"mainsnak":{"snaktype":"value","property":"P1450","hash":"4fa9082850ef5aaf62ad9291428eef26530da341","datavalue":{"value":"convex optimization","type":"string"},"datatype":"string"},"type":"statement","id":"Q2847242$4F45D96A-3224-43E5-A0E7-5CE2869F0A99","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1450","hash":"0237718a629b029e309657e4d2ed9d22773e80b0","datavalue":{"value":"correlation matrix","type":"string"},"datatype":"string"},"type":"statement","id":"Q2847242$B2440FEA-9BF6-4CE7-A108-F798FFF30967","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1450","hash":"d815abc5774e7482de436884e69f769537fd80b2","datavalue":{"value":"calibration","type":"string"},"datatype":"string"},"type":"statement","id":"Q2847242$0CEDF7E2-50CD-4640-A671-F07CF392BD02","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1450","hash":"463bddc5258487d6c550054add4d3d775d0f6fae","datavalue":{"value":"CEV","type":"string"},"datatype":"string"},"type":"statement","id":"Q2847242$D16CF09A-E720-418C-BAF5-C642AD4703D1","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1450","hash":"3118891485f112bc016efee0148921d99f2ff41d","datavalue":{"value":"jump process","type":"string"},"datatype":"string"},"type":"statement","id":"Q2847242$D191DA68-AA8D-4B64-901E-379C50B885CB","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1450","hash":"3207a6c1a3c075f8346ae5b7f3cca847b01fe716","datavalue":{"value":"Monte Carlo scheme","type":"string"},"datatype":"string"},"type":"statement","id":"Q2847242$866C0479-0A4A-45A9-A334-3336AEC83164","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1450","hash":"9a3e96c42926ee7e7c3988cae21d35d83013cf90","datavalue":{"value":"model uncertainty","type":"string"},"datatype":"string"},"type":"statement","id":"Q2847242$DBAF77E4-85CE-4A5A-9322-131577066FD3","rank":"normal"}],"P1460":[{"mainsnak":{"snaktype":"value","property":"P1460","hash":"57f7fea50d2ce1b39b695c4a1313582eed405e38","datavalue":{"value":{"entity-type":"item","numeric-id":5976449,"id":"Q5976449"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q2847242$A3703229-0422-4B41-B214-CDFD40DAA26E","rank":"normal"}],"P205":[{"mainsnak":{"snaktype":"value","property":"P205","hash":"64e5c3c256af0bcc56b2c8a353bcc5290635ff84","datavalue":{"value":"https://hal.science/hal-00835272","type":"string"},"datatype":"url"},"type":"statement","id":"Q2847242$1411F3B8-D8BE-470D-9769-3048AA5B3789","rank":"normal"}],"P388":[{"mainsnak":{"snaktype":"value","property":"P388","hash":"80096de8404a278ce0db8e58678d5a1674b0338b","datavalue":{"value":"W4390647341","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q2847242$E6C8FE38-D251-4383-94EB-0B9FC60049B9","rank":"normal"}],"P223":[{"mainsnak":{"snaktype":"value","property":"P223","hash":"e90a7b21221ba94847b1331e26f6782867eb99f7","datavalue":{"value":{"entity-type":"item","numeric-id":2703108,"id":"Q2703108"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q2847242$752A0137-4C1C-4D29-A45E-EE357B18383D","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"bc5c3ec6aa83c10c84d90f0251ef52b19b3444f8","datavalue":{"value":{"entity-type":"item","numeric-id":3523563,"id":"Q3523563"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q2847242$A286D2B9-281B-4C3D-95A7-60E378C1DB04","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"b46ef8336a2ca903417204636bcd6baa6d414388","datavalue":{"value":{"entity-type":"item","numeric-id":4672029,"id":"Q4672029"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q2847242$EF7E98CE-DD7B-4672-93D0-13F3D41F0286","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"969e5b82497d945d42ab075e3900999d30a844d5","datavalue":{"value":{"entity-type":"item","numeric-id":3022053,"id":"Q3022053"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q2847242$A6A4DF53-470C-4075-9AC4-EFF21A9E05B7","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"980899f84cfcfb7f9eab5fb4c7824cbf3821b8b0","datavalue":{"value":{"entity-type":"item","numeric-id":5455261,"id":"Q5455261"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q2847242$1A9EAD6E-D047-4D01-B453-BCBB229DE41D","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"4b294d5c64a68aa436b053dcc98eecd9bf3a5469","datavalue":{"value":{"entity-type":"item","numeric-id":4906515,"id":"Q4906515"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q2847242$9C6CCDED-2D5F-4928-BD34-1BE7FE7813AF","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"eb1416ee09561a8049800705a5ad43c284f1dd96","datavalue":{"value":{"entity-type":"item","numeric-id":3427465,"id":"Q3427465"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q2847242$7477A891-0F96-4892-BB4C-D522E0817341","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"cd968ff7642bd0995e6270399b1340e2280573f8","datavalue":{"value":{"entity-type":"item","numeric-id":4429859,"id":"Q4429859"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q2847242$BE35E703-2B62-453B-A365-1295AE9710A3","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"00f1a4031876c9b5e7845ca8fcfdde7ea05f72b0","datavalue":{"value":{"entity-type":"item","numeric-id":1222453,"id":"Q1222453"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q2847242$AAA78EA3-D946-4A1B-BF45-1B92C508DE70","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"21c890f3b64688126aabe8d71ad93d4cfe98cda2","datavalue":{"value":{"entity-type":"item","numeric-id":3539543,"id":"Q3539543"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q2847242$BCBE3BF2-19E4-4932-8B4D-012F2CF8A179","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"bb3e253b26fbad7b72903130e7fec0d19ee5901e","datavalue":{"value":{"entity-type":"item","numeric-id":5462082,"id":"Q5462082"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q2847242$DE375E62-2D2C-433E-A69D-CD97A7E3505F","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"0727c0a8b314926cbb04700f9db25991d19a2b04","datavalue":{"value":{"entity-type":"item","numeric-id":1355181,"id":"Q1355181"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q2847242$09ED2CAB-B2A8-4492-B1AB-16A11A7FE6C8","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"79465aa231962c327eed442deec26098b3386906","datavalue":{"value":{"entity-type":"item","numeric-id":3529416,"id":"Q3529416"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q2847242$942861F1-79D8-45A0-9FD1-64661EEC9EA3","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"8b9ec20269ebd67d02fa9ef503928c954cd0ae87","datavalue":{"value":{"entity-type":"item","numeric-id":1431179,"id":"Q1431179"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q2847242$0EB4D38F-458E-4954-B519-377E81CA3924","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"a239ac97919621455966dd35dbe7d01592f32859","datavalue":{"value":{"entity-type":"item","numeric-id":2869971,"id":"Q2869971"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q2847242$2EDCA994-CC54-4FF9-B4B1-7ACBE8E07B4C","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"a7f750431062b0c81d605e1267f17fe34f10489b","datavalue":{"value":{"entity-type":"item","numeric-id":5566063,"id":"Q5566063"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q2847242$C7FB2287-2F77-4844-8732-C132B7358708","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"05b757930189ff72f449b9f9dad4a7865d3f627d","datavalue":{"value":{"entity-type":"item","numeric-id":5452379,"id":"Q5452379"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q2847242$90FE386C-0730-4C25-82E2-308C139AB43F","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"189bc9b2b59676af70f9ec58ee66bea8426d2e39","datavalue":{"value":{"entity-type":"item","numeric-id":4235027,"id":"Q4235027"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q2847242$8AE36E7A-6E9A-4249-8676-B75553514EC7","rank":"normal"}],"P27":[{"mainsnak":{"snaktype":"value","property":"P27","hash":"d7063a15d9c2fb5266ffa9a9faf0d07dc3f951d1","datavalue":{"value":"10.1111/J.1467-9965.2011.00503.X","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q2847242$63DD158D-5AB1-4435-BFC2-E5AC2FB21EE2","rank":"normal"}],"P159":[{"mainsnak":{"snaktype":"value","property":"P159","hash":"dc308342753e7583d1266b1ab05625cced65c098","datavalue":{"value":{"text":"Equity correlations implied by index options: estimation and model uncertainty analysis","language":"en"},"type":"monolingualtext"},"datatype":"monolingualtext"},"type":"statement","id":"Q2847242$AC61517C-C26D-4331-B0B8-DD26D06819F4","rank":"normal"}],"P1448":[{"mainsnak":{"snaktype":"value","property":"P1448","hash":"a2f8b0dbfd19d9415a150d7b8c838723cf94dd97","datavalue":{"value":"In this substantive article, the authors present a no-arbitrage multi-asset derivative pricing model. The methodology is related to a well-posed convex optimisation problem. A calibration algorithm is produced; following this, multi-asset options are priced in association with observed index option prices using a Monte Carlo scheme. This flexible approach prices options consistently and also improves upon the existing diffusion models with constant correlation. In addition, it is possible for the model uncertainty to be quantified.NEWLINENEWLINEIn an attempt to incorporate the implied volatility smile, the authors use the two multi-asset models CEV and jump-diffusion as their starting point.NEWLINENEWLINEThe article finishes with an illustration of an application of the method to the DJIA index option prices. In particular, it considers the correlation uncertainty impact on some equity options.","type":"string"},"datatype":"string"},"type":"statement","id":"Q2847242$4278985A-FC7F-43AA-8CE3-DC03238AE146","rank":"normal"}],"P1447":[{"mainsnak":{"snaktype":"value","property":"P1447","hash":"c885d6a6e015cbd7d64b981999e8c033570d2c5a","datavalue":{"value":{"entity-type":"item","numeric-id":730540,"id":"Q730540"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q2847242$B7E0D1A0-2DE3-42BE-9229-AFF038F7EF2E","rank":"normal"}],"P1643":[{"mainsnak":{"snaktype":"value","property":"P1643","hash":"faeb835bb6c7ff076d853ac1e4dd549e385d6fa8","datavalue":{"value":{"entity-type":"item","numeric-id":2517482,"id":"Q2517482"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","qualifiers":{"P1659":[{"snaktype":"value","property":"P1659","hash":"5319989be58aca52023f6907f35e879ff61b3808","datavalue":{"value":{"amount":"+0.7669467329978943","unit":"1"},"type":"quantity"},"datatype":"quantity"}],"P1660":[{"snaktype":"value","property":"P1660","hash":"a327a09ea0305e98d5cf33bd4036320e19f2aed0","datavalue":{"value":{"entity-type":"item","numeric-id":6821328,"id":"Q6821328"},"type":"wikibase-entityid"},"datatype":"wikibase-item"}]},"qualifiers-order":["P1659","P1660"],"id":"Q2847242$F6E92307-773C-4481-AA34-A91F5163F14B","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1643","hash":"d6e2d3fdfe4ab5f704dad369b33acd81c15677e0","datavalue":{"value":{"entity-type":"item","numeric-id":841855,"id":"Q841855"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","qualifiers":{"P1659":[{"snaktype":"value","property":"P1659","hash":"329b57caa2eedb8f9a48ab8f479e11fc1f8255f7","datavalue":{"value":{"amount":"+0.7607418298721313","unit":"1"},"type":"quantity"},"datatype":"quantity"}],"P1660":[{"snaktype":"value","property":"P1660","hash":"a327a09ea0305e98d5cf33bd4036320e19f2aed0","datavalue":{"value":{"entity-type":"item","numeric-id":6821328,"id":"Q6821328"},"type":"wikibase-entityid"},"datatype":"wikibase-item"}]},"qualifiers-order":["P1659","P1660"],"id":"Q2847242$98997509-7D9C-4B4F-85B9-15008D7F2CA4","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1643","hash":"604328615e927f157f0cd168226f947c7245fe19","datavalue":{"value":{"entity-type":"item","numeric-id":670282,"id":"Q670282"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","qualifiers":{"P1659":[{"snaktype":"value","property":"P1659","hash":"c6df97f896b6c98424037065eb29ec9346eea235","datavalue":{"value":{"amount":"+0.7566943764686584","unit":"1"},"type":"quantity"},"datatype":"quantity"}],"P1660":[{"snaktype":"value","property":"P1660","hash":"a327a09ea0305e98d5cf33bd4036320e19f2aed0","datavalue":{"value":{"entity-type":"item","numeric-id":6821328,"id":"Q6821328"},"type":"wikibase-entityid"},"datatype":"wikibase-item"}]},"qualifiers-order":["P1659","P1660"],"id":"Q2847242$7C63A656-F278-4220-882B-AB194983450D","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1643","hash":"cd0b280d2ecf893902575b24f8d5d6e7131d6652","datavalue":{"value":{"entity-type":"item","numeric-id":3225031,"id":"Q3225031"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","qualifiers":{"P1659":[{"snaktype":"value","property":"P1659","hash":"6f154bba170a93210b02fce688bb111a280c4f4d","datavalue":{"value":{"amount":"+0.7527713179588318","unit":"1"},"type":"quantity"},"datatype":"quantity"}],"P1660":[{"snaktype":"value","property":"P1660","hash":"a327a09ea0305e98d5cf33bd4036320e19f2aed0","datavalue":{"value":{"entity-type":"item","numeric-id":6821328,"id":"Q6821328"},"type":"wikibase-entityid"},"datatype":"wikibase-item"}]},"qualifiers-order":["P1659","P1660"],"id":"Q2847242$A3129ADE-9643-4712-864A-5B051AA906C9","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1643","hash":"0a2d7b248d1b5cdabefbcb63ef1db0a9d98b0e8e","datavalue":{"value":{"entity-type":"item","numeric-id":4917298,"id":"Q4917298"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","qualifiers":{"P1659":[{"snaktype":"value","property":"P1659","hash":"54ab59beb20402104c2c40dc3f60a1fbc9b0efaa","datavalue":{"value":{"amount":"+0.751444399356842","unit":"1"},"type":"quantity"},"datatype":"quantity"}],"P1660":[{"snaktype":"value","property":"P1660","hash":"a327a09ea0305e98d5cf33bd4036320e19f2aed0","datavalue":{"value":{"entity-type":"item","numeric-id":6821328,"id":"Q6821328"},"type":"wikibase-entityid"},"datatype":"wikibase-item"}]},"qualifiers-order":["P1659","P1660"],"id":"Q2847242$98905276-FC3F-4223-8C05-835DF88E2F30","rank":"normal"}]},"sitelinks":{"mardi":{"site":"mardi","title":"Equity correlations implied by index options: estimation and model uncertainty analysis","badges":[]}}}}}