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ArticleA framework for robust measurement of implied correlation

Daniël Linders2014

OA

Articlebronze2014

A framework for robust measurement of implied correlation

Daniël Linders · Wim Schoutens

25 citations·0/0 files stored·Journal of Computational and Applied Mathematics

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Stochastic processes and financial applications Financial Risk and Volatility Modeling Market Dynamics and Volatility

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References

1973The Pricing of Options and Corporate Liabilities 1979Option pricing: A simplified approach 2002Correlation and Dependence in Risk Management: Properties and Pitfalls 1994Implied Binomial Trees 1998Arbitrage Theory in Continuous Time 2000The Investor Fear Gauge 2006The Volatility Surface: A Practitioner's Guide 2002The concept of comonotonicity in actuarial science and finance: theory

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Details

Year2014

Typearticle

Published2014-04-12

VenueJournal of Computational and Applied Mathematics

ISSN-L0377-0427

Languageen

Citations25

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/j.cam.2014.03.026

openalex_workW3122848669

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