Symphonic Options : Decomposing Co-Movement Risk Primitives

This paper introduces a set of novel synthetic derivatives called symphonic options that can decompose interrelated financial risks into underlying primitives based on the co-movement of two or more existing financial assets. This allows for more complete markets to support superior risk management by end users, as well as better pricing of correlations. Some use cases in both traditional and decentralized finance settings are proposed

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Year of publication:	2022
Authors:	Ahn, Daniel P.
Publisher:	[S.l.] : SSRN

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Extent:	1 Online-Ressource (6 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments April 14, 2009 erstellt
Other identifiers:	10.2139/ssrn.4234571 [DOI]
Classification:	G12 - Asset Pricing ; G13 - Contingent Pricing; Futures Pricing
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10014236613