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 …

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 …

We introduce the Gerber statistic, a robust measure of correlation. The statistic extends Kendall's Tau by counting the … standard Pearson correlation that is sensitive to outliers or the Spearman correlation that relies on ranking observations …

It is well established that the standard measure of correlation (Pearson’s product-moment) is very sensitive to … correlation measures have been proposed. We do not consider estimators which require trimming (discarding) of some arbitrary … measure of correlation which can be recommended to practitioners alongside the classic Pearson and Spearman measures. The well …