A framework for robust measurement of implied correlation (Q2517482)
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scientific article; zbMATH DE number 6475791
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | A framework for robust measurement of implied correlation |
scientific article; zbMATH DE number 6475791 |
Statements
A framework for robust measurement of implied correlation (English)
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26 August 2015
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implied correlation estimate
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index option
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vanilla option
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implied volatility
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VIX
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0.83676577
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0.8311515
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0.8221804
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0.82054806
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0.81752384
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0.8163738
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