outperformance options when there is uncertainty about correlation, but it is assumed to lie within a certain range. Under the … expression for the price of the digital outperformance option under the constant correlation assumption, as well as the partial … differential equation corresponding to the uncertain correlation model. The comparison of the prices obtained using both models …

Adjusting the correlation matrix plays an important role in risk management as well as option pricing. We usually … adjust the correlation matrix by directly changing the correlation coefficient in the correlation matrix. However, there is a … chance that the adjusted correlation matrix is not valid. In this paper, we present a new algorithm for adjusting the …

-Olkin credit correlation model. These formulas can be easily evaluated in terms of machine computational time, therefore they are … particularly suitable for the correlation model calibration. To compute the first pricing formula, we assume that the recovery rate …

the associated replication errors. Therefore, we introduce the concept of 'break-even' correlation (and more generally … 'break-even' correlation matrix), that allow a perfect hedging under the GCM if and only if the underlying single names …

futures, and we observe a phenomenon we call the Samuelson correlation effect …

This paper develops a lattice method for option evaluation in the presence of regime shifts in the correlation … whether option prices reflect switches in the correlation between the underlying asset of an option and the risk-free bond … while in the second model, in order to isolate the regime-switching correlation effect on the option prices, we allow only …

method to the vanilla and the Quanto market. As Quanto products offer significant exposure to the correlation between … exchange rates and asset prices, they allow access to a market implied measure of this correlation. By means of a joint …