A framework for robust measurement of implied correlation

DOI10.1016/j.cam.2014.03.026zbMath1319.91159OpenAlexW3122848669MaRDI QIDQ2517482

Daniël 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

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

Related Items (7)

Measuring herd behavior: properties and pitfalls ⋮ Stochastic modelling of herd behaviour indices ⋮ Basket Option Pricing and Implied Correlation in a One-Factor Lévy Model ⋮ Dynamics of foreign exchange implied volatility and implied correlation surfaces ⋮ The multivariate Variance Gamma model: basket option pricing and calibration ⋮ Negative dependence concept in copulas and the marginal free herd behavior index ⋮ Financial interpretation of herd behavior index and its statistical estimation

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