A framework for robust measurement of implied correlation

DOI10.1016/J.CAM.2014.03.026MaRDI QIDQ2517482zbMATH OpenOpenAlexFDO

Authors D. Linders, Wim Schoutens

Publication date 26 August 2015

Published in Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL https://lirias.kuleuven.be/handle/123456789/430226

zbMATH Keywords

implied volatilityVIXindex optionimplied correlation estimatevanilla option

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Measures of association (correlation, canonical correlation, etc.) (62H20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

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Cites work

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• Efficient basket Monte Carlo option pricing via a simple analytical approximation
• Equity correlations implied by index options: estimation and model uncertainty analysis
• FIX: the fear index -- measuring market fear
• Multivariate extensions of Spearman's rho and related statistics
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Cited in

(13)

• Equity correlations implied by index options: estimation and model uncertainty analysis
• Implied basket correlation dynamics
• FIX: the fear index -- measuring market fear
• Dynamics of foreign exchange implied volatility and implied correlation surfaces
• Measuring herd behavior: properties and pitfalls
• Efficient pricing and calibration of high-dimensional basket options
• The multivariate variance gamma model: basket option pricing and calibration
• Financial interpretation of herd behavior index and its statistical estimation
• Basket option pricing and implied correlation in a one-factor Lévy model
• Stochastic modelling of herd behaviour indices
• ROBUST TRADING OF IMPLIED SKEW
• CORRELATION ESTIMATION IN HYBRID SYSTEMS
• Negative dependence concept in copulas and the marginal free herd behavior index

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