Showing 1 - 4 of 4
The lack of a liquid market for implied correlations requires traders to estimate correlation matrices for pricing multi-asset equity options from historical data. To quantify the precision of these correlation estimates, we devise a block bootstrap procedure. The resulting bootstrap...
Persistent link: https://www.econbiz.de/10010296446
Persistent link: https://www.econbiz.de/10003900335
Persistent link: https://www.econbiz.de/10001919088
Persistent link: https://www.econbiz.de/10001366223