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Finanzmarktökonometrie : zeitstetige Systeme und ihre Anwendung in Ökonometrie und empirischer Kapitalmarktforschung

Singer, Hermann - 1999

Persistent link: https://www.econbiz.de/10001362446

Estimating realistic implied correlation matrix from option prices

Numpacharoen, Kawee; Numpacharoen, Nattachai - In: Journal of mathematical finance 3 (2013) 4, pp. 401-406

Persistent link: https://www.econbiz.de/10010239524

The most general methodology for creating a valid correlation matrix for risk management and option pricing purposes

Rebonato, Riccardo; Jäckel, Peter - In: Innovations in risk management : seminal papers from …, (pp. 339-351). 2004

Persistent link: https://www.econbiz.de/10002600431

The most simple methodology to create a valid correlation matrix for risk management and option pricing purposes

Simonian, Joseph - In: Applied economics letters 17 (2010) 16/18, pp. 1767-1768

Persistent link: https://www.econbiz.de/10009232146

The Most General Methodology to Create a Valid Correlation Matrix for Risk Management and Option Pricing Purposes

Rebonato, Riccardo - 2011

We have presented two simple methods to produce a feasible (i.e. real, symmetric, and positivesemidefinite) correlation matrix when the econometric one is either noisy, unavailable, or inappropriate. The first method is to the knowledge of the authors more general than any of the approaches...

Persistent link: https://www.econbiz.de/10013117700