Correlation Risk Premia for Multi-Asset Equity Options
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References listed on IDEAS
- Turan G. Bali & Hans Genberg & Salih N. Neftci, 2002.
"Excessive variation in risk‐factor correlations and volatilities,"
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- Fengler, Matthias R. & Herwartz, Helmut, 2001. "Multivariate volatility models," SFB 373 Discussion Papers 2001,74, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
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- Aydınlı, Gökhan & Härdle, Wolfgang Karl & Neuwirth, E., 2003. "Computational Statistics with Spreadsheets Towards Efficiency, Reproducibility and Security," SFB 373 Discussion Papers 2003,26, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
- Pellegrino, Tommaso & Sabino, Piergiacomo, 2014. "On the use of the moment-matching technique for pricing and hedging multi-asset spread options," Energy Economics, Elsevier, vol. 45(C), pages 172-185.
More about this item
KeywordsMulti--Asset Options; Correlation Derivatives; Correlation Risk; Bid-Ask Spreads; Block Bootstrapping; Market Making; Equity Derivatives;
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