Estimating realistic implied correlation matrix from option prices
Kawee Numpacharoen; Nattachai Numpacharoen
| Year of publication: |
2013
|
|---|---|
| Authors: | Numpacharoen, Kawee ; Numpacharoen, Nattachai |
| Published in: |
Journal of mathematical finance. - [S.l.] : Scientific Research, ISSN 2162-2434, ZDB-ID 2657377-5. - Vol. 3.2013, 4, p. 401-406
|
| Subject: | Realistic Implied Correlation Matrix | Positive-Semi Definite | Valid Correlation Matrix | Implied Correlation Index | Equicorrelation Matrix | Korrelation | Correlation | Optionspreistheorie | Option pricing theory | Schätztheorie | Estimation theory | Lineare Algebra | Linear algebra | Volatilität | Volatility |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010239524