EQUITY CORRELATIONS IMPLIED BY INDEX OPTIONS: ESTIMATION AND MODEL UNCERTAINTY ANALYSIS

DOI10.1111/j.1467-9965.2011.00503.xzbMath1280.91167OpenAlexW4390647341MaRDI QIDQ2847242

Romain Deguest, Rama Cont

Publication date: 4 September 2013

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://hal.science/hal-00835272

zbMATH Keywords

convex optimizationcalibrationmodel uncertaintycorrelation matrixMonte Carlo schemejump processCEV

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Convex programming (90C25) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (8)

An investigation of model risk in a market with jumps and stochastic volatility ⋮ Implied Volatility of Basket Options at Extreme Strikes ⋮ Aggregating Risks with Partial Dependence Information ⋮ Basket Option Pricing and Implied Correlation in a One-Factor Lévy Model ⋮ A framework for robust measurement of implied correlation ⋮ A model-free approach to multivariate option pricing ⋮ The multivariate Variance Gamma model: basket option pricing and calibration ⋮ Robust risk measurement and model risk

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