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Basket option pricing and implied correlation in a Lévy copula model
Linders, Daniël; Schoutens, Wim - 2014
Persistent link: https://www.econbiz.de/10010422208
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Comparing some alternative Lévy base correlation models for pricing and hedging CDO tranches
Masol, Viktoriya; Schoutens, Wim - 2008
Persistent link: https://www.econbiz.de/10003709746
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Basket Option Pricing and Implied Correlation in a One-Factor Lévy Model
Linders, Daniël - 2015
how our newly designed basket option pricing formula can be used to define implied Lévy correlation by matching model and … market prices for basket options. Our main finding is that the implied Lévy correlation smile is flatter than its Gaussian … counterpart. Furthermore, if (near) at-the-money option prices are used, the corresponding implied Gaussian correlation estimate …
Persistent link: https://www.econbiz.de/10013033163
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A framework for robust measurement of implied correlation
Linders, Daniël; Schoutens, Wim - 2013
Persistent link: https://www.econbiz.de/10010239027
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Zero Covariation Returns
Madan, Dilip B. - 2017
Asset returns are modeled by bilateral gamma processes with zero covariations. Covariances are then observed to be consequences of randomness in variations. Support vector machine regressions on prices are employed to model the implied randomness. The contributions of support vector machine...
Persistent link: https://www.econbiz.de/10012943431
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A Framework for Robust Measurement of Implied Correlation
Linders, Daniël - 2013
In this paper we consider the problem of deriving correlation estimates from observed option data. An implied … correlation estimate arises when we match the observed index option price with a corresponding model price. The underlying model … approximated. Different methods exist and each choice leads to another implied correlation estimate.We show that the traditional …
Persistent link: https://www.econbiz.de/10013071498
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A Framework for Robust Measurement of Implied Correlation
Linders, Daniël - 2014
In this paper we consider the problem of deriving correlation estimates from observed option data. An implied … correlation estimate arises when we match the observed index option price with a corresponding model price. The underlying model … approximated. Different methods exist and each choice leads to another implied correlation estimate.We show that the traditional …
Persistent link: https://www.econbiz.de/10013060588
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Option prices and model-free measurement of implied herd behavior in stock markets
Linders, Daniël; Dhaene, Jan; Schoutens, Wim - 2015 - Version: December 19, 2014
Persistent link: https://www.econbiz.de/10011418887
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Arbitrage free approximations to candidate volatility surface quotations
Madan, Dilip B.; Schoutens, Wim - In: Journal of risk and financial management : JRFM 12 (2019) 2/69, pp. 1-21
It is argued that the growth in the breadth of option strikes traded after the financial crisis of 2008 poses difficulties for the use of Fourier inversion methodologies in volatility surface calibration. Continuous time Markov chain approximations are proposed as an alternative. They are shown...
Persistent link: https://www.econbiz.de/10012022144
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Option prices and model-free measurement of implied herd behavior in stock markets
Linders, Daniël; Dhaene, Jan; Schoutens, Wim - In: International journal of financial engineering 2 (2015) 2, pp. 1-35
Persistent link: https://www.econbiz.de/10011333475